Amended: 22 February 2016: There were a couple of errors in the code which I have now fixed. The previous code omitted the need for the xcolor package and the some coding items symbols (notably '\' were missing).
I have been searching the internet on how to produce a normal distribution curve in LaTeX with the standard deviations marked. I wasn't able to find exactly what I wanted, but got some good clues here.  This code uses the pgfplots package. The code should work 'as is'.


\documentclass{article}
\usepackage{pgfplots}
\usepackage{amssymb, amsmath}
\usepackage{tikz}
\usepackage{xcolor}
\pgfplotsset{compat=1.7}
\begin{document}
\pgfmathdeclarefunction{gauss}{2}{\pgfmathparse{1/(#2*sqrt(2*pi))*exp(-((x-#1)^2)/(2*#2^2))}%
}
\begin{tikzpicture}
\begin{axis}[no markers, domain=0:10, samples=100,
axis lines*=left, xlabel=Standard deviations, ylabel=Frequency,,
height=6cm, width=10cm,
xtick={-3, -2, -1, 0, 1, 2, 3}, ytick=\empty,
enlargelimits=false, clip=false, axis on top,
grid = major]
\addplot [fill=cyan!20, draw=none, domain=-3:3] {gauss(0,1)} \closedcycle;
\addplot [fill=orange!20, draw=none, domain=-3:-2] {gauss(0,1)} \closedcycle;
\addplot [fill=orange!20, draw=none, domain=2:3] {gauss(0,1)} \closedcycle;
\addplot [fill=blue!20, draw=none, domain=-2:-1] {gauss(0,1)} \closedcycle;
\addplot [fill=blue!20, draw=none, domain=1:2] {gauss(0,1)} \closedcycle;
\addplot[] coordinates {(-1,0.4) (1,0.4)};
\addplot[] coordinates {(-2,0.3) (2,0.3)};
\addplot[] coordinates {(-3,0.2) (3,0.2)};
\node[coordinate, pin={68.2\%}] at (axis cs: 0, 0.4){};
\node[coordinate, pin={95\%}] at (axis cs: 0, 0.3){};
\node[coordinate, pin={99.7\%}] at (axis cs: 0, 0.2){};
\node[coordinate, pin={34.1\%}] at (axis cs: -0.5, 0){};
\node[coordinate, pin={34.1\%}] at (axis cs: 0.5, 0){};
\node[coordinate, pin={13.6\%}] at (axis cs: 1.5, 0){};
\node[coordinate, pin={13.6\%}] at (axis cs: -1.5, 0){};
\node[coordinate, pin={2.1\%}] at (axis cs: 2.5, 0){};
\node[coordinate, pin={2.1\%}] at (axis cs: -2.5, 0){};
\end{axis}
\end{tikzpicture}
\end{document}