Using the Enhanced Postscript (EPS) terminal it's possible to add a lot of symbols to a Gnuplot graphic. The syntax is very similar to the Latex one.
There's a syntax guide which includes many examples.
To create the following graphic I used the EPS terminal to label the axes with greek letters:
This is my script:
reset #Range set xrange [0:3] set yrange [-2.5:4.5] #Range and xtic interval set xtics -3,0.5,10 #Range and ytic interval set ytics -2.5,0.5,4.5 #Labels with greek letters set xlabel "t/{/Symbol p}" set ylabel "{/Symbol q}" #Legend position set key #Origin set origin 0,0 #Ratio between heigth and width set size ratio 0.5 #Color EPS terminal with Arial font is set as outoput terminal set term post eps enhanced color "Arial" 11 #Graphic size set size 1,1 #With Border set border #Output file set output "theta.eps" #Plot command plot 'pos1.dat' using 1:2 title 'E=0.25' with lines, \ 'pos2.dat' using 1:2 title 'E=0.50' with lines, \ 'pos3.dat' using 1:2 title 'E=0.75' with lines, \ 'pos4.dat' using 1:2 title 'E=1.00' with lines, \ 'pos5.dat' using 1:2 title 'E=1.25' with lines