You can match formatting between Mathematica figures and LaTeX using a small package I just wrote for using LaTeX-snippets in Mathematica: MaTeX.

Here's an example:

<<MaTeX`

Plot[Sin[z], {z, -2 Pi, 2 Pi},
 Frame -> True, FrameStyle -> BlackFrame,
 FrameLabel -> (MaTeX[#, Magnification -> 20/12] &) /@ {"z", "a(z) = \\sin z"},
 BaseStyle -> {FontFamily -> "Latin Modern Roman", FontSize -> 20}]

Additionally, I used the Latin Modern font for tick labels to fully match the "LaTeX look", and set the frame to be black instead of gray.

You can match formatting between Mathematica figures and LaTeX using a small package I just wrote for using LaTeX-snippets in Mathematica: MaTeX.

Here's an example:

<<MaTeX`

Plot[Sin[z], {z, -2 Pi, 2 Pi},
 Frame -> True, FrameStyle -> BlackFrame,
 FrameLabel -> (MaTeX[#, Magnification -> 20/12] &) /@ {"z", "a(z) = \\sin z"},
 BaseStyle -> {FontFamily -> "Latin Modern Roman", FontSize -> 20}]

Additionally, I used the Latin Modern font for tick labels to fully match the "LaTeX look", and set the frame to be black instead of gray.

If you prefer the Times font, we can do that too:

SetOptions[MaTeX, "Preamble" -> {"\\usepackage{amsmath,amssymb}", "\\usepackage{txfonts}"}];

Plot[Sin[z], {z, -2 Pi, 2 Pi}, Frame -> True, 
 FrameStyle -> BlackFrame, 
 FrameLabel -> (MaTeX[#, Magnification -> 20/12] &) /@ {"z", "a(z) = \\sin z"}, 
 BaseStyle -> {FontFamily -> "Times", FontSize -> 20}]