If I recall correctly, postscript does not support transparency. That means you have to select a terminal that supports transparency (and TeX). In ConTeXt transparency works fine, in the text labels as well as transparent graphs (more information: ConTeXt wiki - Gnuplot). ConTeXt uses it's own terminal (based on the metapost terminal). You could give the metapost terminal a try.
This example is taken from the Gnuplot home page - demos and slightly modified; maybe there's something similar you can do in LaTeX.
\usemodule [gnuplot]
\definecolor [mytrans] [r=0.7,t=0.5,a=1]
\starttext
\startGNUPLOTscript [plt]
set clip two
set style fill transparent solid 0.50 noborder
set key title "Gaussian Distribution"
set key inside left top vertical Left reverse enhanced autotitles nobox
set key noinvert samplen 1 spacing 1 width 0 height 0
set style function filledcurves y1=0
set title "\\color[mytrans]{Transparent} filled curves"
set xrange [ -5.00000 : 5.00000 ] noreverse nowriteback
set yrange [ 0.00000 : 1.00000 ] noreverse nowriteback
unset colorbox
Gauss(x,mu,sigma) = 1./(sigma*sqrt(2*pi)) * exp( -(x-mu)**2 / (2*sigma**2) )
d1(x) = Gauss(x, 0.5, 0.5)
d2(x) = Gauss(x, 2., 1.)
d3(x) = Gauss(x, -1., 2.)
GPFUN_Gauss = "Gauss(x,mu,sigma) = 1./(sigma*sqrt(2*pi)) * exp( -(x-mu)**2 / (2*sigma**2) )"
GPFUN_d1 = "d1(x) = Gauss(x, 0.5, 0.5)"
GPFUN_d2 = "d2(x) = Gauss(x, 2., 1.)"
GPFUN_d3 = "d3(x) = Gauss(x, -1., 2.)"
plot d1(x) fs solid 1.0 lc rgb "forest-green" title "µ = 0.5 $\\sigma$ = 0.5",\
d2(x) lc rgb "gold" title "µ = 2.0 $\\sigma$ = 1.0",\
d3(x) lc rgb "red" title "µ = -1.0 $\\sigma$ = 2.0"
\stopGNUPLOTscript
\useGNUPLOTgraphic [plt]
\stoptext
The result:

Tested with context 2011.05.18 18:04, gnuplot 4.7 patchlevel 0