From http://www.math.utk.edu/~vasili/refs/How-to/gnuplot.print.html

1. Producing postscript files
First you prepare your plot as you want it in gnuplot. Then:

gnuplot> set term postscript     (will produce postscript output)
gnuplot> set output "printme.ps" (output to any filename you use)
gnuplot> replot                  (recreates plot but you don't 	see it, goes to file)

gnuplot> set term x11  on unix   or: set term win  on win  
		(resets the normal terminal so you can do more plotting)

Now you have a postscript file named  printme.ps  containing your plot.
You can view it with ghostscript: UNIX> gs printme.ps
            or  with ghostview  : UNIX> ghostview printme.ps
    or print it:     UNIX> lpr printme.ps
    or produce .pdf: UNIX> ps2pdf printme.ps printme.pdf 

2. Producing png    (image file, similar to .jpg)
gnuplot> set term png             (will produce .png output)
gnuplot> set output "printme.png" (output to any filename you use)
gnuplot> replot
gnuplot> set term x11