How to create diagonal matrix with an aligned diagonal?

Maybe this?

\documentclass{article}
\usepackage{amsmath,mathtools}
\DeclareMathOperator{\Mat}{Mat}
\newcommand{\diagentry}[1]{\mathmakebox[1.8em]{#1}}
\newcommand{\xddots}{%
  \raise 4pt \hbox {.}
  \mkern 6mu
  \raise 1pt \hbox {.}
  \mkern 6mu
  \raise -2pt \hbox {.}
}
\begin{document}
\[
\Mat(u;\mathcal{B})=
\begin{pmatrix}
    \diagentry{I_{n_+}}\\
    &\diagentry{-I_{n_-}}\\
    &&\diagentry{R_{\theta_1}}\\
    &&&\diagentry{R_{\theta_2}}\\
    &&&&\diagentry{\xddots}\\
    &&&&&\diagentry{R_{\theta_r}}\\
    &&&&&&\diagentry{0}\\
    &&&&&&&\diagentry{0}\\
    &&&&&&&&\diagentry{\xddots}\\
    &&&&&&&&&\diagentry{0}\\
\end{pmatrix}
\]
\end{document}

another one that puts the burden on the reader but saves his/her eyes in my opinion

\documentclass{article}
\usepackage{mathtools}
\DeclareMathOperator{\Mat}{Mat}
\DeclarePairedDelimiter{\diagfences}{(}{)}
\newcommand{\diag}{\operatorname{diag}\diagfences}
\begin{document}\noindent
I would instead do either 
\[
\Mat(u;\mathcal{B})=
\begin{pmatrix}
I_{n_+}\\
&\!\!-I_{n_-}\\
&&R_{\theta}\\
&&&0_m
\end{pmatrix},\;R_{\theta}=\diag{R_{\theta_1}, \cdots,R_{\theta_r}}
\]
or even
\[
\Mat(u;\mathcal{B})= \diag{I_{n_+},-I_{n_-},R_{\theta},0_m},\; R_{\theta}=\diag{R_{\theta_1}\, ,\, \cdots,R_{\theta_r}}
\]

\end{document}

One possibility is to assert control and position the items at exactly a 45 degree slope (or whatever slope you want) by adjusting the coordinates:

\documentclass{article}
\usepackage{amsmath}
\begin{document}
\[
\mathrm{Mat}(u;\mathcal{B})=
\begin{pmatrix}
I_{n_+}\\&-I_{n_-}\\
&&R_{\theta_1}\\
&&&R_{\theta_2}\\
&&&&\ddots\\
&&&&&R_{\theta_r}\\
&&&&&&0\\
&&&&&&&0\\
&&&&&&&&\ddots\\
&&&&&&&&&0\\
\end{pmatrix}
\]

\[\setlength\unitlength{13pt}
\mathrm{Mat}(u;\mathcal{B})=
\left(\begin{picture}(11,6)(0,-5.5)
\put(1,-1){\makebox(0,0){$I_{n_+}$}}
\put(2,-2){\makebox(0,0){$-I_{n_-}$}}
\put(3,-3){\makebox(0,0){$R_{\theta_1}$}}
\put(4,-4){\makebox(0,0){$R_{\theta_2}$}}
%\put(5,-5){\makebox(0,0){$\ddots$}}
\put(4.8,-4.8){\makebox(0,0){$\cdot$}}
\put(5.1,-5.1){\makebox(0,0){$\cdot$}}
\put(5.4,-5.4){\makebox(0,0){$\cdot$}}
\put(6,-6){\makebox(0,0){$R_{\theta_r}$}}
\put(7,-7){\makebox(0,0){$0$}}
\put(8,-8){\makebox(0,0){$0$}}
%\put(9,-9){\makebox(0,0){$\ddots$}}
\put(8.8,-8.8){\makebox(0,0){$\cdot$}}
\put(9.1,-9.1){\makebox(0,0){$\cdot$}}
\put(9.4,-9.4){\makebox(0,0){$\cdot$}}
\put(10,-10){\makebox(0,0){$0$}}
\end{picture}
\right)
\]


\end{document}