Example of 2D (bivariate) kernel density estimation (KDE) heat map in Python.
Modification of the example in http://mail.scipy.org/pipermail/scipy-user/2008-July/017603.html to fix the axes and show the scatter plot on top of the KDE image.
Example image at http://flic.kr/p/9V6onm :
You have to import
scatter
frommatplotlib.pyplot
additionally. Anyway, nice looking example.