This is something very desirable for articles. (a Mathematica version can be found here: http://wwwth.mpp.mpg.de/members/jgrosse/mathpsfrag/)
Currently, I can get output with LaTeX output with something like this:
plot2d([sin(x)], [x,-5,5],[y,-5,5],[gnuplot_term, latex], [gnuplot_out_file, "~/graph.tex"],[xlabel, "$\\alpha$"],[ylabel,"$\\sin(\\alpha)$"]);
then I will need to wrap it in a LaTeX file, like this
\documentclass[letterpaper,10pt]{scrartcl}
\usepackage[latin1]{inputenc}
\usepackage{amsfonts}
\usepackage{amsmath}
\usepackage{amssymb}
\usepackage{amsthm}
\usepackage[T1]{fontenc}
\usepackage[dvips]{graphicx}
\begin{document}
\thispagestyle{empty}
\pagestyle{empty}
\begin{figure}
\input{graph}
\end{figure}
\end{document}
and run LaTeX externally to see a plot with LaTeX labels.
It'd be nice if there was a way of doing this in a more integrated fashion.