To extend the scope of multivariate data visualization, the notion of comparative visualization is introduced: it allows the comparison of visualization methods by interconnecting several different graphic displays. This linking of visualizations, together with the possibility to interactively manipulate data, enable an analyst to display the same data set with a number of conceptually different visualization methods simultaneously and to carry out graphical operations across them. Graphical effects in different displays not only reveal information about the data themselves, they also provide the basis to investigate how the different visualization methods relate to each other. With the "VisuLab", we developed a software tool for personal computers to investigate comparative multivariate data visualization.