These are the possibilities for you (I use the first two for my work):
Way out 1
You may try matlab2tikz and export your figures into tikz code.
Way out 2
Try matfig2pgf and get pgf code for your figure. matfig2pgf also provides a nice menu in the matlab figure window, thus some what more friendly.
Way out 3
If you a a PSTricks fan try fig2texps and get pstricks code.
Way out 4
Try plot2svg and get svg diagrams. But this is somewhat over kill as you have to again find ways to insert svg figures into latex.
Way out 5
If you have surface plots, you may look at surf2latex.
You can search for other applications in mathworks matlabcentral/fileexchange and look for various (numerous) ways. Also use different key words like pgf, tikz, PSTricks, latex etc in your search on that page. Hope this is useful.
How to get some peace of mind
For all plotting needs you may start using pgfplots. Use matlab to get the datapoints from your program, and use pgfplots to plot. For details, see pgfplots documentation. pgfplots can also be used with gnuplot seemlessly. Hence we can use the computing capabilities of gnuplot also.
An example:
\documentclass{article}
\usepackage{pgfplots}
\begin{document}
\begin{tikzpicture}[scale=1.0]
\begin{axis}[xlabel=$x-$ label and some text,
ylabel=$y-$ label
]
%
\addplot[domain=-10000:10000, no markers,green,ultra thick] gnuplot{14*x - x^2 + x^3 - x^4};
%
\end{axis}
\end{tikzpicture}
Some text to show the similarity of fonts in figures and main body.
\end{document}
You need to have gnuplot installed for this to work and enable --shell-escape option for pdflatex.

epsformat, which maybe preferable overpngformat. I am not sure what you use insavefig.m, but saving figures can be done bysaveas()command. – mythealias Oct 21 '12 at 02:41