There's the package gnuplottex that does exactly what you want. Here's an example document, say test.tex:
\documentclass[a4paper]{article}
\usepackage{graphicx,amssymb,ifthen,moreverb,gnuplottex}
\pagestyle{empty}
\begin{document}
\begin{gnuplot}[terminal=pdf]
set autoscale # scale axes automatically
unset log # remove any log-scaling
unset label # remove any previous labels
set xtic auto # set xtics automatically
set ytic auto # set ytics automatically
set title "Force Deflection Data for a Beam and a Column"
set xlabel "Deflection (meters)"
set ylabel "Force (kN)"
set key 0.01,100
set label "Yield Point" at 0.003,260
set arrow from 0.0028,250 to 0.003,280
set xr [0.0:0.022]
set yr [0:325]
plot "force.dat" using 1:2 title 'Column' with linespoints , "force.dat" using 1:3 title 'Beam' with points
\end{gnuplot}
\begin{gnuplot}[terminal=pdf]
plot sin(x)
\end{gnuplot}
\end{document}
along with the standard force.dat file
# This file is called force.dat
# Force-Deflection data for a beam and a bar
# Deflection Col-Force Beam-Force
0.000 0 0
0.001 104 51
0.002 202 101
0.003 298 148
0.0031 290 149
0.004 289 201
0.0041 291 209
0.005 310 250
0.010 311 260
0.020 280 240
If compiled with
pdflatex --shell-escape test
the result will be

You can use the gnuplot environment just like any other LaTeX environment.
gnuplotpackage. Also,pgfplotscan work with gnuplot. – cgnieder May 18 '12 at 22:18