prepare the data files divided in blocks (to be used with the index command)
gnuplot > set = 0
load a macro as following: plot "filename.dat" index set u ... 
pause 1         (wait 1 second) set=set+1 if(set<[last value of set]) replot

Then, it is possible to save on a gif file and then use ImageMagic or anything else to make an animated gif.