This is posted, with various differences, for various OS's, around the web. Depending on your configuration, you may have trouble getting gnuplot to run on your Mac. I did. This fixed it.
All this for 10.4, gnuplot 4, x11 1.1.3.
1. If you don't have x11 (look in usr/lib/X11), install it from the 1st install disk. Spotlight for X11 on the DVD, and select X11User.pkg and run it.
2. Use Update in your System preferences to bring X11 up to date.
3. If you get an error that libaquaterm.1.0.0.dylib is not found when you run gnuplot, and you do have /usr/local/lib/libaquaterm.1.0.1.dylib, then just
$sudo ln -s libaquaterm.1.0.1.dylib libaquaterm.1.0.0.dylib
So gnuplot will find the newer library version.
4. Run gnuplot (or octave) from an X11 terminal, not a "Terminal" terminal!
Hope this helps.
iMac 20" and Mac Book Pro 15" Mac OS X (10.4.9)