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Check out the "ezCor" function in the "ez" package for R. It plots something similar, but with additional features such as univariate densities, correlation coefficients, etc.
Commented Jun 19, 2010 on The scatter-plot matrix: a great tool at Junk Charts
The scatter-plot matrix: a great tool
The scatter-plot matrix is one of the lesser known graphical tools beloved by statisticians. A scatter plot displays the correlation between a pair of variables. Given a set of n variables, there are n-choose-2 pairs of variables, and thus the same numbers of scatter plots. These scatter plots c...
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