Some apps like OmniGraffle under Mac OS X makes nice vectorial drawing. And there can show some shadows under some figs.
Unfortunately, it is impossible to make arc of circle with OmniGraffle!
And more, integration of LaTeX is not as easy as it could be ; copy and
paste PDF done with Equation Service for example.
It is sad...
A way not to use OmniGraffle, which is not free, is to use metapost.
I give links to some Metapost code (very ugly) with examples which gives result far better, from my point of view, than OmniGraffle.
Compare youself (click on the image to downlad the pdf version,
don't really trust jpg)
with OmniGraffle:
With Metapost:
Metapost programs resize the LaTeX textes into the states for they
fit into correctly.
Text also follow the angle of the arrow if the angle is not too high.
Here is some more demonstrative figure: