Object-oriented way

l = plot(x1,y1,x2,y2); 
l(1).LineWidth = 3; % set line width of 3 for the first line (x1,y1) 
l(2).LineWidth = 6;

or typical way

h = plot(x1,y1,x2,y2);
set(h(1),'linewidth',1);
set(h(2),'linewidth',2);