If you are serious about making beautiful figures in latex, I would seriously recommend using tikz and pgf-plots. It is quite easy to automatically generate tikz-code from python (after all it is supposed to be read and written by humans) and all aspects of the figure can easily be customized. I have been quite successful in generating automated reports with pretty and easily readable figures using tikz and pgf.
If anyone is interested I have uploaded a sample script for generating XY-plots from two numpy lists to github. The code is by no means very good, but I just wanted to share in case anyone wants to try this approach.