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Welcome to TeX SX! I would say .eps or .pdf, as they can be zoomed without loss of quality. This being said most plots can easily be done directly in LaTeX, via pstricks or TiKZ-pgf.
I'd avoid JPEG for plots (or anything other than pictures). JPEG compression doesn't behave well on anything containing text and results in artifacts. I'd second @Bernard's suggestions: Stick to vector formats if possible. If you have to use a pixel based format, for things containing text you should choose PNG (though it is horribly slow to be included in LaTeX, so better avoid it, or preconvert it to PDF if you only have a PNG file).
Note that if you plot something with a large amount of points (several thousands or more) then a pdf plot may have a large file size but more importantly it may cause slow loading, zooming, scrolling of your final document, as all points are rendered individually. In such a case it may be better to use PNG, or to reduce the number of plotted points (you will not be able to see so many points anyway in the plot).
pstricksorTiKZ-pgf.graphicxpackage, which has a macro calledincludegrahipcs. See ctan.org/pkg/graphicx