Mathematica creates vector graphics instead of raster graphics. Usually this is a good thing. But rending 10*10^6 data points in a vector graphic is a bit much. It's not that big of a deal usually when making a raster graphic.
Fortunately, you rarely - if ever - actually want to plot that many points. For the most part, you'll want to make a Histogram or a DensityPlot of some kind. Very often people plot many points instead of making a DensityPlot as a kind of stand in for a DensityPlot.
If rendering is actually the problem, you might want to work with Images instead of Graphics. You could implement a scatter plot for example fairly easily as an Image or an array using ArrayPlot.
