I successfully installed and ran it:
dlundh$ gnuplot

G N U P L O T
Version 4.0 patchlevel 0
last modified Thu Apr 15 14:44:22 CEST 2004
System: Darwin 8.9.1

Copyright (C) 1986 - 1993, 1998, 2004
Thomas Williams, Colin Kelley and many others

This is gnuplot version 4.0. Please refer to the documentation
for command syntax changes. The old syntax will be accepted
throughout the 4.0 series, but all save files use the new syntax.

Type `help` to access the on-line reference manual.
The gnuplot FAQ is available from
http://www.gnuplot.info/faq/

Send comments and requests for help to
<gnuplot-info@lists.sourceforge.net>
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Terminal type set to 'x11'
gnuplot>

What I did was use MacPorts and the PortAuthority GUI. PortAuthority helps resolve all dependencies, fetches all sourcecode and compiles it.

I suggest you try it.