Finally I have decided to go PDF. I can add pictures without EPS wrapper, and do drawings with TikZ - life is good :o)
But how do I use gnuplot? For consistency I would like to use the tikz terminal, and I would like to be able to preview my graphs without including them in a document. This
set term tikz standalone preamble '\usepackage[version=3]{mhchem}'
set output "test.tex"
plot x title '\ce{H2O}'
will make an article class document that can compile alone, but it can not be included in another document.
One solution would be not to use the standalone option, and then make a small script, that wraps the output in the standalone class. Now the document can compile alone, and it can be included in a document, but I would not be able to specify an additional preamble. :o(
Does anyone have a smart solution?

tikzitself has a\draw plot function {...};operator that passes the braced function straight tognuplot. See the 2.10 manual, section 19.6. – Ryan Reich Dec 03 '11 at 05:31gnuplottex– Alain Matthes Dec 03 '11 at 07:55pgfplotsto test your plots before putting them into a main document. – qubyte Dec 03 '11 at 10:02