on Mac, install gnuplot has no difficulty. download the source code, unzip it. open terminal, go to the unzipped folder, and type.
./configure sudo make make install
the command ./configure is checking your system, see weather there are required libraries to run the gnuplot. after the ./configure, it will show you the installation configuration. make is build up the installation component, then install.
in Ubuntu, the process is the same. however, since Ubuntu does not has build in X11 terminal, which is used to real time display. the following command will install X11 terminal.
sudo apt-get install libx11-dev
After install the X11 terminal, run the ./configure again and you can see the X11 is enabled.