The code above is a nice little function (for those of us still pre-2014b), but can be improved with a call to 'DataAspectRatio' and an adjustment of the patch size to make sure that the circles look like circles:
function scatterPoints = transparentScatter(x,y,sizeOfCirlce,opacity)
% usage example:
% scatterPoints = transparentScatter(randn(5000,1),randn(5000,1),0.1,0.05);
% set(scatterPoints,'FaceColor',[1,0,0]);
dRatio = get(gca,'DataAspectRatio');
dRatio = dRatio(1) / dRatio(2);
defaultColors = get(0,'DefaultAxesColorOrder');
assert(size(x,2) == 1 && size(y,2) == 1 , 'x and y should be column vectors');
t= 0:pi/10:2*pi;
rep_x = repmat(x',[size(t,2),1]);
rep_y = repmat(y',[size(t,2),1]);
rep_t = repmat(t',[ 1, size(x,1)]);
scatterPoints = patch((dRatio*sizeOfCirlce*sin(rep_t)+ rep_x),(sizeOfCirlce*cos(rep_t)+rep_y),defaultColors(1,:),'edgecolor','none');
alpha(scatterPoints,opacity);
end