Integration with LaTex and LyX

?Sweave

LyX is a bit harder, although you can probably export LyX docs to a *.tex
and Sweave those fairly painlessly.

LyX can play very nicely with Sweave and R.
For the 1.6.x series, you could get started here [1]. If that's not
enough, search the LyX wiki and ML archives.
For the 2.0.x series, LyX will provide out-of-the-box support for
Sweave. This is routinely discussed on the ML and in the bug tracker
(if you're looking for examples). At the moment 2.0 is not yet stable,
but beta2 is already out and you are free to experiment.

Regards
Liviu

[1] http://cran.r-project.org/contrib/extra/lyx/