set key default
This places a key at a specific place (upper right) on the screen:
set key at screen 0.85, 0.85
This places the key below the graph and minimizes the vertical space taken:
set key below horizontal
This places the key in the bottom left corner of the plot,
left-justifies the text, gives the key box a title at the top,
and draws a box around it with a thick border:
set key left bottom Left title 'Legend' box lw 3