When you get a Choropleth map based on shape entities data, next step its about to create a grid based thematic map. The idea is to create a vector grid and intersect it with other entities, allowing to get aggregated data from entities attributes into the grid. this action allows us to create a thematic map using the grid as the main representation element instead of other entities.
In this example, we have a shape with population points over the world, each point has a population attribute.
We create a grid (Vector->Research Tools->Grid Vector), we must define the grid extension and cell size, in this case we want a grid as polygons. This action will create a new shape that must be loaded on the project.
When we have a grid, we must do a join (Vector->Data Management Tools->Join Attributes by Location), use grid as target layer, choose the vector layer that you want to work with and the operation that you want to be performed (Mean/Min/Max/Sum/Median). This will generate a new shape with the treated data.
Here is the result, a grid based thematic map of aggregated population, based on data of points of populated places.