While it may be possible to trick XeTeX into accepting .ai-files from Illustrator I would recommend against it. The in the .ai-file embedded pdf document is using a higher pdf version than the standard version of pdfTeX in most distributions but you can adjust this using \pdfminoversion
. Additionally the file is much larger and I am not sure if XeTeX would be able to throw out the unnecessary parts, so that your final document would also wasting lots of space.
Exporting it from Illustrator as a PDF/X files has worked nicely for me with many documents and helps you to achieve a final document which is close to PDF/X and won't give you any troubles with printing or different readers.
I would recommend you use pgfplots
for these kind of graphs:

If some of these options are not clear, the best way is to comment them out and see the effect on the graph.
Code:
\documentclass{article}
\usepackage{pgfplots}
\begin{document}
\begin{tikzpicture}
\begin{axis}[
xmin=-1, xmax=2,
ymin=-1, ymax=2,
axis lines=center,
axis on top=true,
domain=0:1,
]
\addplot [mark=none,draw=red,ultra thick] {1-x};
\end{axis}
\end{tikzpicture}
\end{document}
Alternatively you could do this just in tikz
:

Code:
\documentclass{article}
\usepackage{tikz}
\begin{document}
\begin{tikzpicture}
\draw [thin, gray, ->] (0,-1) -- (0,2) % draw y-axis line
node [above, black] {$y$}; % add label for y-axis
\draw [thin, gray, ->] (-1,0) -- (2,0) % draw x-axis line
node [right, black] {$x$}; % add label for x-axis
\draw [draw=red,ultra thick] (0,1) -- (1,0);% draw the graph
\node [left] at (0,1) {$1$}; % label y-intercept
\node [below] at (1,0) {$1$}; % label x-intercept
\end{tikzpicture}
\end{document}
Best Answer
I totally, totally feel your pain.
When I was writing my dissertation on string theory I encountered the same issue. I managed to develop a pipeline which seems to work quite well:
Using these same steps, I have managed to create things like in the images below:

Hope that helps,
Hassan