First a caveat: I posted this question here on SuperUser, but it is clearly the wrong place to ask R questions. I recognize that it is not directly a programming question,
The current best answer above to me is not acceptable, since if one goes to the trouble of making a nice vector based figure, the last thing one would like to do is just rasterize it to a bitmap... Unless it's an increadibly complex graph that takes ages to render in vector format, or something like that, but for most graphs that's not the case.
The best solution is to export to Word directly in native Office vector format. I just made a new package, export, that allows one to do exactly that an allows export of either graphs or statistical tables to Word and Powerpoint, see
https://cran.r-project.org/web/packages/export/index.html and for demo see
https://github.com/tomwenseleers/export
For example:
install.packages("export")
library(export)
?graph2ppt
?graph2doc
?table2ppt
?table2doc
## export of ggplot2 plot
library(ggplot2)
qplot(Sepal.Length, Petal.Length, data = iris, color = Species,
size = Petal.Width, alpha = I(0.7))
# export to Word
graph2doc(file="ggplot2_plot.docx", width=7, height=5)
# export to Powerpoint
graph2ppt(file="ggplot2_plot.pptx", width=7, height=5)

You can also export to enhanced metafile using the function
graph2emf(file="ggplot2_plot.emf", width=7, height=5)
but the quality of the native Office format is better.
For final production you can also readily print it to PDF from Powerpoint if need be, and it will stay nicely in vector format then.