I provide another instructions to install Gnuplot 4.4.0 compiling it yourself on Mac OS X.
There are some possibilities to install Gnuplot on Mac OS X, none of them is “official”, since the Gnuplot project doesn’t provide binaries for Mac OS X. It’s actually quite easy to configure and compile Gnuplot (i.e. ./configure; make; make install), but some terminals are not built due to missing dependencies and this makes Gnuplot less powerful.