Hello
Here is an additional comment to JIMCLARK01's tips to compile gnuplot 4.4.2 under Snow Leopard (Mac OS X.6) with PNG, JPEG output available :

X11 should be installed on your computer (From Mac OSX install DVD).

gnuplot needs libgd library to support graphics output formats like PNG.
You have to install libgd first and to link gnuplot with it.

1 - Download libraries JPEG (jpegsrc.v6b.tar.gz), FreeType 2.4.3, and GD 2.0.35 (Find them on the Web, copy the .tar.gz file in a directory , uncompact them with the Finder)

Then in a terminal window :

2 - Install lib jpeg-6b :
cd jpeg-6b
cp /usr/share/libtool/config/config.sub .
cp /usr/share/libtool/config/config.guess .
./configure --enable-static --x-include=/usr/include/X11 --x-libraries=/usr/X11/lib
make
sudo make install
sudo ranlib /usr/local/lib/libjpeg.a

Library will be put be in /usr/local : /usr/local/lib/libjpeg.a
Remarks :
--enable-shared don't work
make install produce an error with doc, ignore it.

3 - Install freetype-2.4.3
cd freetype-2.4.3
./configure
make
sudo make install

4 - Install libgd
cd gd-2.0.35
sudo ln -s /usr/X11R6/include/fontconfig /usr/local/include
sudo cp -r /usr/X11/include/*png* /usr/local/include
./configure --with-x --x-include=/usr/include/X11 --x-libraries=/usr/X11/lib --with-png=/usr/X11
make
sudo make install

5 - rebuild gnuplot
./configure --with-readline=bsd --x-include=/usr/include/X11 --x-libraries=/usr/X11/lib
Verify here that png terminals are detected in configure's output
make
sudo make install

6 - To make libgd support fonts
export GDFONTPATH=$HOME/Library/Fonts:/Library/Fonts:/System/Library/Fonts
before you launch gnuplot or put GDFONTPATH initialization in your ~/.bash_profile