R code to create the graphic:
  svg("Anscombe's quartet 3.svg", width=11, height=8)
  op <- par(las=1, mfrow=c(2,2), mar=1.5+c(4,4,1,1), oma=c(0,0,0,0),
            lab=c(6,6,7), cex.lab=2.0, cex.axis=1.3, mgp=c(3,1,0))
  ff <- y ~ x
  for(i in 1:4) {
    ff[[2]] <- as.name(paste("y", i, sep=""))
    ff[[3]] <- as.name(paste("x", i, sep=""))
    lmi <- lm(ff, data= anscombe)
    xl <- substitute(expression(x[i]), list(i=i))  
    yl <- substitute(expression(y[i]), list(i=i))
    plot(ff, data=anscombe, col="red", pch=21, cex=2.4, bg = "orange", 
         xlim=c(3,19), ylim=c(3,13)
         , xlab=eval(xl), ylab=yl  # for version 3
        )  
    abline(lmi, col="blue")
  }
  par(op)
  dev.off()