In R, one can simply do:
library("ggplot2")
library("datasets")
ggplot(faithful, aes(x=eruptions)) + geom_density() + geom_rug()
which gives a chart like this (http://jean-francois.im/temp/eruptions-kde.png). Contrast with: ggplot(faithful, aes(x=eruptions)) + geom_histogram(binwidth=1)
which gives a chart like this (http://jean-francois.im/temp/eruptions-histogram.png).Edit: Other plots mentioned in this discussion:
ggplot(faithful, aes(x = eruptions)) + stat_ecdf(geom = "step")
Cumulative distribution, as suggested by leot (http://jean-francois.im/temp/eruptions-ecdf.png) qqnorm (faithful$eruptions)
Q-Q plot, as suggested by christopheraden (http://jean-francois.im/temp/eruptions-qq.png)