This package provides GnuPlot bindings for Mathematica. It provides the functions gnuPlot and gnuListPlot which work (to some extend) analogous to Mathematicas own Plot and ListPlot functions.
gnuplot-mm generates a gnuplot command file for you, runs it in the background and imports the output back into Mathematica. Simply calling
gnuPlot[Exp[-y^2] Cos[2y], {y, -3, 3}, PlotStyle -> "set grid y @DGRAY"]produces the following output
You can also use gnuplots cairolatex terminal from within Mathematica to produce LaTeX-rendered output:
See more features in action: https://rawgithub.com/sharkdp/gnuplot-mm/master/doc/gnuplot.htm
Clone the repository into your ~/.Mathematica folder and load gnuplot-mm/gnuplot.m via Get[..].