On gd based terminals (png, jpeg, gif), one can use the character entity reference,
set term png set output 'test.png' plot sin(x) title '{/:Italic \θ}'
This is very useful but one cannot use tha above syntax except the gd based terminals.
If the syntax like the above is supported, it will be very grateful.
The above was discussed in the one of the gnuolot comminity in Japan.
In the original post, the character entity reference feature can be used also in svg terminal.
But I could not reproduce his results.