A violin plot is a combination box plot and a kernel density plot: it starts with a box plot, and adds a rotated kernel density plot to each side of the box plot. You can create violin plots with the vioplot function (from the vioplot package) package in R.
When looking at the volatility of financial instruments, the financial blogger "Milk Trader" suggests Volatility Violins can be helpful. Using the getSymbols function to download VIX and SPX data from Yahoo, he provides code to compare the volatility of the two indices. As suggested by a commenter, I adapted the code to scale the SPX data to match the annualized VIX: