I downloaded the source files for gnuplot 5.0.1 (gnuplot-5.0.1.tar.gz) from the source forge page. I also installed the Command Line Tools on my OS X 10.7.5 so that I have gcc and make in the /usr/bin folder.
I followed the installation instructions found in INSTALL.gnu file of the tarball: I ran the configure file and typed make, make check, make install, and make clean. With these commands, gnuplot is located in /usr/local/bin/.
The make check command outputs a lot of lines in the shell before testing many gnuplot scripts. I could actually visualize the plots and I thought "great, it works". So I opened a new terminal shell and typed gnuplot to begin using it (the terminal is automatically set to qt). A simple plot sin(x) fails. Gnuplot returns these messages :
Could not start gnuplot_qt with path "/usr/local/libexec/gnuplot/5.0/gnuplot_qt"
Could not start gnuplot_qt with path "/usr/local/libexec/gnuplot/5.0/gnuplot_qt"
Could not connect to gnuplot_qt "" . Starting a new one
Could not start gnuplot_qt with path "/usr/local/libexec/gnuplot/5.0/gnuplot_qt"
Warning: slow font initialization . . . . . . . . .
Warning: slow font initialization . . . . . . . . .
Warning: slow font initialization . . . . . . . . .
Warning: slow font initialization . . . . . . . . .
…
The warning message keeps appearing infinitely if I don't close the terminal.