The default install of gnuplot in Ubuntu/Debian does offer a crippled form of word completion, when compared to other distribution (Mandrake, Suse). For example, filenames can not be completed with pressing tab, which can be really annoying if you're used to have this sort of completion. The reason for this is some licensing issue with the readline library. A workaround is to compile Gnuplot with the right tweaks, but this is to much hassle for what it's worth for me.
Another solution, which can also be applied to other applications, is rlwrap. It's just a simple sudo apt-get install rlwrap away (with uni/multiverse repositories enabled).
Now I have filename completion in gnuplot with:
rlwrap -a -c gnuplot
And if you're not so keen on remembering this, just add the following alias to your .bashrc:
alias gnuplot='rlwrap -a -c gnuplot'
Nice.