UPDATE: this problem was resolved in newer versions (> 5.0) of gnuplot; see @andyras answer.
I find it hard to get gnuplot for creating shortcuts with bold and extended text in terminals without postscript. Next script
reset
set terminal pdfcairo enhanced color lw 3 size 3,2 font 'Arial-Bold'
set output 'output.pdf'
set tics scale 0
plot -x title 'normal text', \
-2*x t 'enhanced_{text}', \
-3*x t '{/Arial-Bold attempt to specify_{font}}'
set terminal pngcairo enhanced color lw 3 size 400,300 font 'Arial-Bold'
set output 'output.png'
replot
set terminal postscript enhanced color lw 3 size 6,4 font 'Arial-Bold'
set output 'output.eps'
replot
reset
Produces the following eps (converted to png s convert output.eps -rotate 90 outputeps.png):

what well. However, when I use pdf or png terminals, the result is as follows:

Please note that although all label text must be bold, only a label without extended text is shown in bold. Also, when I try to manually specify the font (name of the last line), the font is different (reverting to default?).
, ? (.. , )?