My only problem with doing everything in Matlab (which I used to do) and exporting the PDF is that you can't really match the fonts easily to the main document.

My only problem with doing everything in Matlab (which I used to do) and exporting the PDF is that you can't really match the fonts easily to the main document. I picked a set of fonts (math and normal) for my Ph.D. thesis and I wanted the fonts in the figures to match those in the main body. Using matlab2tikz did that for me. You could probably do the same thing but do the export of the tikz file instead of the PDF. That's basically what I do.