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A pm3d color surface is drawn if the splot command explicitly specifies with pm3d, if the data or function style is set to pm3d globally, or if the pm3d mode is set pm3d implicit. For the latter two cases the pm3d surface is draw in addition to the mesh produced by the style specified in the plot command. E.g.
splot 'fred.dat' with lines, 'lola.dat' with lines
would draw both a mesh of lines and a pm3d surface for each data set. If the option explicit is on (or implicit is off) only plots specified by the with pm3d attribute are plotted with a pm3d surface, e.g.:
splot 'fred.dat' with lines, 'lola.dat' with pm3d
would plot 'fred.dat' with lines (only) and 'lola.dat' with a pm3d surface.
On gnuplot start-up, the mode is explicit. For historical and compatibility reasons, the commands set pm3d; (i.e. no options) and set pm3d at X ... (i.e. at is the first option) change the mode to implicit. The command set pm3d; sets other options to their default state.
If you set the default data or function style to pm3d, e.g.:
set style data pm3d
then the options implicit and explicit have no effect.