Josh wrote:
Hi,
I have three related variables (vectors) and would like to see their
distribution on a 2D plot of first two variables, having colors proportional
to the values from third variable. I could have done so by passing 3rd
variable to the color palette, but this would disrupt the relationship
information among them.
I am sure there has to be some way to do it, but I don't know how. Any help
in this direction will be appreciated.

Hi Josh,
Have a look at color.scale in the plotrix package. This function converts numeric values into colors along an arbitrary color dimension.

Jim

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