There are many, many applications specialized at visualization of data. However, if program development goes parallel with generation and inspection of data it is often advantageous to have the visualization tools directly available as C++ classes. Then adding a few lines of debug code lets data be generated under visual control that otherwise would be generated 'in the dark'. This is the way I work since more than 20 years and which led to the C++ class system which I call C+- (since it makes active use only of a subset of the rather complex C++ syntax). C+- can freely be downloaded from my website, together with examples and documentation. Feel free to ask for help if you consider using this tool.
Gnuplot is OK, but lately I have been really liking the plotting capabilities of R. The plots look very nice and it is easy to export them as PDFs which can be used in TeX.