Adding arrows to the axes

Fig. 1 Plot of a sinusoid with arrows on the axes (code to produce this figure, data)

You can easily add arrows to the end of the x- and y-axis using the set arrow command. The two last values of the size option determines the opening and closing angles of the arrows.

set arrow from graph 1,0 to graph 1.05,0 size screen 0.025,15,60 \
    filled ls 11
set arrow from graph 0,1 to graph 0,1.05 size screen 0.025,15,60 \
    filled ls 11