You could try running your figure through GhostScript's epstoeps utility. This will ensure that the eps file is well formed.
Tried this but I still get an error while using epstopdf..
"pdflatex looks for the pdf file in the current directory". To be honest, I don't know, but this sounds probable. Look at your latex file: what are the '...' in the \includegraphics{...} command?
I think this works fine.. I checked and the tex file created by lyx when calling on pdflatex does have the full path to the file (without the file's extension of course) and so pdflatex checks for the <filename>.pdf which currently doesn't exist cos epstopdf didn't work..
nirmal
