Then he downloaded some font to replace the AIRAL and solved this error.
Two days ago, Yi-Han asked me the same question.
I jus realize that this error will just happen if your Gnuplot is installed in a ML via MacPorts.
Since I will upgrade to ML very soon, I try to find my own solution.
And here is my way:
insert the lines below to your startup file (.profile or .bashrc):
then you will not need to download any fonts, just use the fonts coming with MS Office.
Actually you will not need to use font Airal alway, just change the setting to the font you'd like.