Make plots with GNUplot. Have anyone tried that?

[snip]

 Seriously. Be specific if you have a problem. (read the posting guide). R can
 also plot. If you don't like R's plots (which I could not understand) you can
 export data and import them to gnuplot. So what?

Okay, my post was not very good.

The reason (I think) I need GNUplot, is that I would like to include
the plots from R in a Latex report, where I would like to have all the
text and equations in the plots with the same font as used in Latex.

So when I read about opening and closing "dev" for making a pdf I
figured that the plots that R produces are like the once Matlab makes;
shows what they ought to, nothing more, nothing less.

So I was wondering if anyone know of an GNUplot friendly format and
the code that would produce that text file.

I am new to both R and GNUplot, so I am pure ears if someone knows how
to make such plots in R.