Hi,
for those using Lyx (a Latex frontend), I just noticed that the new 
version (2.3.0) has support for gnuplot scripts. So in theory one should 
be able to use gretl's 'gnuplot' (or 'plot') command to produce a 
gnuplot command file which can then be linked into the relevant Lyx file.
(It seems that Lyx expects a .gp or .gnuplot file extension for those 
scripts; I have filed a bug report with Lyx asking to support also the 
.plt extension - but since you can give the full file name to gretl's 
gnuplot command, this shouldn't be a problem, you just have to know it.)
I haven't really tested this myself yet, it would be interesting to hear 
from people if it actually works!
thanks,
sven