There are now two different modes for editing Gnuplot files.
The original gnuplot-mode, developed at github and installable via MELPA and el-get (see the github page for instructions). Extensive support for menues, and many key-bindings. See GnuplotMode for further (possible out-dated) details.
A more minimal version, with syntax highlighting (compatible with most recent Gnuplot 4.6 addtions such as do-for, else, while, if loops ), and compilation buffer usage, for easy navigation between errors. For further information see: gnuplot-mode and source is available for download at github