Finally, an easy-to-use tool for plotting points with transparency! This tool is ideal for when you have too many points for a traditional plot() call, or when you just want your plots to look sexy!
Supports multiple colors, sizes, opacities, and even different shapes.
Edit 3/19/15: This approach is only recommended for versions ≤ 2014a. There is a much easier and more stable way to do this in 2014b:

x=randn(100,1)'; y=randn(100,1)';
hLine=plot(x,y,'o');
hLine.MarkerSize = 20;
hLine.MarkerFaceColor = [0.5,0.5,0.5];
hLine.MarkerEdgeColor = 'none';
drawnow
hLine.MarkerHandle.FaceColorData = uint8(255*[1;0;0;0.3]);