Syntax:
set terminal latex | emtex {courier | roman | default} {<fontsize>}
fontsize may be any size you specify. The default is for the plot to inherit its font setting from the embedding document.
Unless your driver is capable of building fonts at any size (e.g. dvips), stick to the standard 10, 11 and 12 point sizes.
METAFONT users beware: METAFONT does not like odd sizes.
All drivers for LaTeX offer a special way of controlling text positioning: If any text string begins with '{', you also need to include a '}' at the end of the text, and the whole text will be centered both horizontally and vertically. If the text string begins with '[', you need to follow this with a position specification (up to two out of t,b,l,r), ']{', the text itself, and finally '}'. The text itself may be anything LaTeX can typeset as an LR-box. '3#3rule{}{}'s may help for best positioning.
Points, among other things, are drawn using the LaTeX commands "3#3Diamond" and "3#3Box". These commands no longer belong to the LaTeX2e core; they are included in the latexsym package, which is part of the base distribution and thus part of any LaTeX implementation. Please do not forget to use this package.
Examples:
About label positioning:
Use gnuplot defaults (mostly sensible, but sometimes not really best):
set title '\LaTeX\ -- $ \gamma $'
set label '{\LaTeX\ -- $ \gamma $}' at 0,0
set xlabel '[t]{\LaTeX\ -- $ \gamma $}'
set ylabel '[r]{\LaTeX\ -- $ \gamma $\rule{7mm}{0pt}}'