In order to enable 'set terminal pdf' in gnuplot on Rosalba/Allegra, I installed PDFlib lite and gnuplot v4.2.6. to them.
(PDFlib lite is required to build the pdf-available version of gnuplot)

Installation of PDFlib lite:

• Building has been done at rosalba
• Download the latest distribution of PDFlib lite from http://www.pdflib.com/products/pdflib-7-family/pdflib-lite/
• Expand the archive. Go into the expanded directory
        tar zxvf PDFlib-Lite-7.0.4p4.tar.gz
      cd ./PDFlib-Lite-7.0.4p4
• configure & make
        ./configure
      make
• install the files to the system / configure the dinamic linker
        sudo make install
      sudo ldconfig

Installation of gnuplot:

• Building has been done at rosalba
• Download the latest distribution of gnuplot form http://www.gnuplot.info/
• Expand the archive. Go into the expanded directory
        tar zxvf gnuplot-4.2.6.tar.gz
      cd ./gnuplot-4.2.6.tar.gz
• configure & make
        ./configure --prefix=/cvs/cds/caltech/apps/linux/gnuplot
      make
      make install
• Create symbolic links of the executable at
        /cvs/cds/caltech/apps/linux/bin
      /cvs/cds/caltech/apps/linux64/bin
• Note: Although the original (non-PDF) gnuplot is still at
        /usr/bin/gnuplot
new one is active because of the path setting
      rosalba:linux>which gnuplot
      /cvs/cds/caltech/apps/linux64/bin/gnuplot