http://stats.stackexchange.com/questions/31726/scatterplot-with-contour-heat-overlay
n = 10000;
a = as.matrix( rnorm(n) );
dim(a) = c( n/2, 2 );
z = kde2d( a[,1], a[,2], n=50 );
plot( a[,1], a[,2], cex=0.5 );
contour( add=T, z, col=1:11 );
Just a collection of some random cool stuff. PS. Almost 99% of the contents here are not mine and I don't take credit for them, I reference and copy part of the interesting sections.