It is easy to create a PDF file with scalable vector graphics, which can be later included elsewhere (LaTeX users will appreciate this).
You will need some application to prepare the graphics -- Keynote works well (I also tried PowerPoint). Select the graphic. Copy it to the clipboard (using Command+C or Edit » Copy).
Then go into Preview, and type Command+N ( or File » Create From Clipboard). Save the new file as a PDF. Notice that, no matter how much you zoom, the image does not pixellate.
[crarko adds: I tested this, and it works as described.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20101218054230569