EDITED TO ADD: I have no idea how I missed this, you can just use "plot '-'" as mentioned in the comments. This proves that my searching skills suck.
This is not rocket science but I couldn't find it (yeah I know my searching foo sucks) on the Internet (aka Google nowadays).
So just to make a note if I would forget about this and I would want again to create plots from some data without putting it into file:
huge_one_liner_goes_here | gnuplot -p -e 'plot "< cat /proc/$$/fd/0"'
A small script I created that adds a bit more options can be found here.
A great page with examples is here. Two nice blogs, first one has been quiet since some time, the second one looks active.