I found this graphical intuitive explanation of covariance: 32 binormal points drawn from distributions with the given covariances, ordered from most negative (bluest) to most positive (reddest)
The whole material can be found at: https://stats.stackexchange.com/questions/18058/how-would-you-explain-covariance-to-someone-who-understands-only-the-mean
I would like to recreate this sort of graphical illustration in R, but I'm not sufficiently familiar with R's plotting tools. I don't even know where to start in order to get those colored rectangles between each pair of data points, let alone make them semi-transparent.
I think this could make a very efficient teaching tool.