In gnuplot the
latex terminal is both primitive and ugly. With the exception of
(e)ps(la)tex, most terminals (
mp) are old, unmaintained and hardly usable, and even
epslatex is problematic if you want to use pdfTeX or XeTeX. One of the main problems with gnuplot is that they keep so many outdated terminals that it is a difficult task to figure out which ones are good and which ones are not.
The only TeX-based terminal for Gnuplot worth recommending is the one based on
tikz. I also wrote one for
context, but that won't help you if you are a LaTeX user.
pdf(cairo) terminal is maintained and does the job as long as you don't need any advanced formulas and "font synchronization". You can still use, say, Latin Modern in PDF output, but that requires slightly more effort than simply including a document generated with
tikz terminal. On the other hand TeX will run out of memory with pm3d or other graphically complex examples (pm3d examples generate 10.000 rectangles or more), so pdf might be the only choice. With even more graphical elements (million or more; frequent in scatter plots) even pdf viewer won't be able to display the plot in reasonable time, so you would have to use png.
(e)ps terminal is almost the same as
pdf is only better for new TeX engines and supports transparency).
(e)ps(la)tex gets replaced with "
pdflatex" terminal one day: combining efficient graphics handling with pdf and well integrated text typeset with TeX, that would also work well for most purposes.
However if you take gnuplot out of picture, your original question of whether TeX or pdf is preferred for graphics, you would get a completely different answer.