I was trying to create some sequential plots today in R to analyse some MCMC simulations. I found the par(ask=TRUE) command very useful for looking at iterations of individual parameter values. Setting the ask graphical parameter to TRUE (before a for loop) allows you to update plots by clicking on the plotting device (in windows). Here is some example code to show how par(ask=TRUE) works.

xx <- rnorm(1000)
xx <- matrix(xx,10,100)
par(ask = TRUE)
plot(xx[1,], type="n", ylim=range(xx), ylab="")
for(i in 1:10){
   plot(xx[i,], ylim=range(xx), ylab="", type="l")
}

This will give the following output after each click:

If you want to keep previous plotted lines on the plot you can adapt the for loop in such a manner:

par(ask=TRUE)
plot(xx[1,], type="n", ylim=range(xx), ylab="")
for(i in 1:10){
   plot(xx[1,], ylim=range(xx), ylab="", type="l")
   for(j in 1:i){
      lines(xx[j,])
   }
}

This will give the following output after each click: