Motivated by the excellent R package pgfSweave, I begin to notice the font families in my graphs when writing Sweave documents. The default font family for PDF graphs is Helvetica, which is, in most cases (I think), inconsistent with the LaTeX font styles. Some common font families are listed in ?postscript, and we can take a look at them by:
for (f in c("AvantGarde", "Bookman", "Courier", "Helvetica",
"Helvetica-Narrow", "NewCenturySchoolbook", "Palatino", "Times")) {
pdf.options(family = f)
pdf(paste(f, ".pdf", sep = ""))
set.seed(123)
plot(rnorm(25), pch = 1:25, xlab = "xlab family", ylab = "ylab font",
main = paste("Font Families in R (PDF):", f))
text(13, 0, "Text in the Middle")
mtext(sprintf("pdf.options(family = \"%s\")", f), side = 4)
dev.off()
}

It seems that "Bookman", "NewCenturySchoolbook", "Palatino" and "Times" can be better choices when using Sweave because they are serif fonts, which are usually more consistent with LaTeX PDF.
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