Gnuplot is designed to work with LaTeX. If you want a unified appearance, with textual elements on the graph typeset by TeX, then that workflow is built-in to gnuplot.
You can also use TikZ to call gnuplot from within the LaTeX document, or generate TikZ code from within gnuplot.
You can also use TikZ to call gnuplot from within the LaTeX document, or generate TikZ code from within gnuplot.
A very brief introduction:
https://lwn.net/Articles/628537/