Another option, useful in viewing large data sets, is to remove a subset of the points from your plot. This can be done by selecting the points you want to remove and then choosing Remove Selection from the plot menu. The plot can then be rescaled using the Rescale Plot option.
When a set of points is selected in a plot you can change the symbol used to display the points using the Selection Symbol item. You can save the indices of the selected points in a variable by selecting the Selection... item in the plot menu. A dialog will ask you for a name for the selection.
When no points are selected you can use the Selection... menu item to specify the indices of the points to select. A dialog will ask you for an expression for determining the selection to use. The expression can be any Lisp expression that evaluates to a list of indices.