To get LaTeX in labels or legends in Gnuplot, you need to use one of the terminals that produce LaTeX code.
For example, you could use the latex
terminal:
set terminal latex
set out 'plot.tex'
plot [-5:5] [-1.5:1.5] sin(x+pi) title "$\\sin(x+\\pi)$"
set out
That will produce a plot.tex
file that includes the plot using basic TeX statements. You can include that file in your main document using \input{plot.tex}
:
\documentclass{article}
\begin{document}
\input{plot.tex}
\end{document}
Which will give you
(notice that the quality isn't overwhelming when using the latex
terminal).
You can also use the epslatex
terminal:
set terminal epslatex color
set out 'plot.tex'
plot [-5:5] [-1.5:1.5] sin(x+pi) title "$\\sin(x+\\pi)$"
set out
This will include a plot.tex
file with all the labels, and a separate plot.eps
file including the graphical elements. You can include the output using
\documentclass{article}
\usepackage{graphicx}
\begin{document}
\input{plot.tex}
\end{document}
Alternatively, you could create the plots directly within LaTeX, using a package like PGFPlots or pst-plot:
\documentclass{article}
\usepackage{pgfplots}
\begin{document}
\begin{tikzpicture}
\begin{axis}[
enlarge x limits=false,
legend entries=$\sin{x+\pi}$
]
\addplot [domain=-1.5*pi:1.5*pi, smooth] {sin(deg(x+pi))};
\end{axis}
\end{tikzpicture}
\end{document}
\documentclass{...}
and ending with\end{document}
.