1. If you are going to generate lots of latex tables automatically from an Rnw file, LABEL THEM.
2. weaver does not work with xYplot. If you are using the Hmisc library, just don't use weaver. I will present a solution here sometime soon.
The solution: set caching to off (cache=off) in the chunk that loads the Hmisc library and runs the xYplot command(s). You can turn caching on before and after the chunk, but xYplots need to be computed without caching.
3. xtable is unable to identify the fact that an R output line containing, e.g., log(sigma^2), has to be in math-environment in the tex. In Sweave this has the disastrous consequence that the .tex file does not compile. My kludgy solution is to search and replace the .tex file after Sweaving it.
It's frustrating that such good tools can sometimes be such a pain in the ass. I guess one should be grateful they are there at all.