If you need to achieve the best possible quality I strongly recommend against using the Clipboard for transferring graphics. Under Windows the clipboard will contain a Windows Metafile generated with display resolution fidelity! This is the reason why you see jaggies.
The same is true for the vector graphics files generated by Mathematica's
Save Selection As... menu item. For achieving the best possible quality always use the
Instead of copying I recommend to
Export your graphics as EPS and then import it in your Word document. Note that most scientific journals recommend to provide graphics in the resolution-independent EPS format.
One possible difficulty with EPS is that it does not support semi-transparency. If your graph contains transparent objects you cannot directly
Export it as correct EPS file from Mathematica.
Another problem is that MS Office supports EPS only up to PostScript level 2 while
Export "generally creates PostScript level 2 files, and includes certain level 3 features if appropriate." MS Office fails to import EPS file when it contains PostScript level 3 features and unfortunately it is currently impossible to restrict
Export for writing only level 2 files.
I expand these topics and provide workarounds in these answers:
If you are not satisfied with EPS, I recommend you to
Export your graphics as EMF. EMF has an advantage of being the native vector graphics format on Windows but unlike EPS and PDF it does not support font embedding. EMF files
Exported from Mathematica also have much lesser vector precision than EPS, PDF and SVG files generated by
Export. So EPS is much more advanced as compared to EMF but also is much more difficult to deal with because MS Office support of this format is rudimentary.
If you use
VertexColors in your graph (which PDF format supports but Mathematica's
Export still does not) or there are other reasons why EPS, EMF and PDF give unsatisfactory results you may consider rasterizing your graph and
Exporting it as PNG with high resolution. This is not always an easy task because Mathematica's
Graphics by default is NOT resolution-independent:
TickLabels by default do not scale with the whole
Graphics! It is huge headache for any Mathematica user for many years and there is still no easy workaround. In the most cases the best way is to
Export as PDF from Mathematica and then export the graph from your favorite PDF renderer to PNG. Other workarounds include some preprocessing inside of Mathematica and/or using third-party software.
Here is an example of the preprocessing approach which gives small file size without loss of quality: