Yeah ! Thanks to my new job, I'm a newly registered user of OmniGraffle. A great diagramming tool which has been one of my top 5 favorite applications on MacOS X for several months. So, if you're a mac user and if you still use dia with X11 support or a Visio on a Windows computer, I suggest you to give it a try.
This said, on the others UNIXs that I'm using, I don't really know any (really) cool (the really exclude the good ol' dia and xfig) diagramming application that can produce an usable output for my LaTeX documents. And I tried OpenOffice Draw. But that's still not really what I'm waiting for.