Gnuplot binary from yum wont support jpeg terminal, and png support is very limitted by the OLD vintage driver (1995). Always return "Error: terminal "png" does not support continuous colors." when doing pm3d plots.
The new gif/png/jpeg terminal is supported by the gd library, with provide much better support then vintage driver. The use of gd library is default in Gnuplot 4.
The simple fix for this problem is of course download the Gnuplot source, then make install, and everything works straight out of the box. What I dont get is why the rpm bindary is out-of-date by such a long way.