The wxt terminal is indeed what you want.
It is enabled by default in the 'configure' script, so I assume you were missing one or more libraries it depends on, when you ran it. I just tried it with version 4.6.1 from sourceforge.
The confgiure script gives you a list of requirements for the wxt terminal to be enabled. Look for the line
wxt terminal: no (requires C++, wxWidgets>2.6, cairo>0.9, pango>1.10)
You need C++ (I assume you have that). For the others, on my almost clean Ubuntu 12.10 64bit installation, I needed to install 3 additional packages with their dependencies to enable the wxt terminal option. You want:
libcairo2-dev
libpango1.0-dev
libwxgtk2.8-dev
On debian-based distributions, you can do:
sudo apt-get install libcairo2-dev libpango1.0-dev libwxgtk2.8-dev
or install them manually on other systems. If you don't find them in your repositories, you can always get the latest versions from wxWidgets,cairo and pango. When you have the libraries installed, re-run ./configure and check that the wxt terminal line reads
wxt terminal: yes
If it does, re-compile your gnuplot by make and make install and you can use gnuplot as before with nice output on the screen.
Thank you very much. You are absolutely right, enabling wxt termincal during configuration fully resolved this issue.
Perhaps I should stress that wxWidget must be 2.8 and not 3.0. I wasted whole lot of time because of this.