Take a very simple example, mfrow=c(1,3); each figure is a different histogram; how would I draw a horizontal line (akin to abline(h=10)) that went
This article by Paul Murrell shows the use of grid graphics to draw lines between two different coordinate systems, in this case lines that have end points specified in the native space of two separate sub-plots:
Paul Murrell. The grid graphics package. R News, 2(2):14-19, June 2002
It's on page 17 of the PDF article:
http://cran.r-project.org/doc/Rnews/Rnews_2002-2.pdf