To get vector graphics from R into Word, use the EMF file format
Find of the day:
install.packages("devEMF")
This package lets you use
emf("filename.emf")
plot(...)
dev.off()
to produce an EMF file, which is a scalable vector graphic that you can import into a MS Word document. Scalable vector graphics look much nicer than bitmaps (jpeg, png, etc), since you asked. As they don’t have a fixed resolution you can, well, scale them.
Other more common vector graphics file formats like EPS and SVG can unfortunately not be included in a Word document.