How to do it...

1. Draw the center plot using ggplot2 and extract the legend using the g_legend() function:

> library(ggplot2)
> main <- ggplot(iris, aes(x = Petal.Length, y = Petal.Width)) + 
    geom_point(alpha = .5 , aes(shape = Species, colour = Species))
> leg <- g_legend(main)

1. Still using ggplot2, draw a histogram to fit the top margin:

> top <- ggplot(iris) + 
    geom_histogram(alpha = .3, aes( x = Petal.Length, fill = Species)) +
    guides(fill = FALSE) + xlab('')

1. And another histogram to fit the right margin:

> right <- ggplot(iris) + 
    geom_histogram(alpha = .3, aes( x = Petal.Width, fill = Species)) +
    coord_flip() + guides(fill = FALSE) + xlab('')

1. Arrange them all using gridExtra::grid.arrange():

> library(gridExtra)
> grid.arrange(top, leg, main + theme(legend.position = 'none'), 
               right, ncol=2, nrow=2, widths=c(4, 1), heights=c(1, 4))

See figure 2.10 for the resulting illustration:

Figure 2.10 - Marginal histograms draw with gridExtra.