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
