I've been getting this on the latest versions of Mono, since 3.0.8 (now with 3.1.2), and with Max OS X 10.7 and 10.8. A simple test script with just #load "gnuplot.fs", when run, results in a NullReferenceException:
SnowDog:knn andrei$ fsharpi test.fsx
Unhandled Exception:
System.NullReferenceException: Object reference not set to an instance of an object
at FSI_0001.FSharp.GnuPlot.GnuPlot.Dispose (Boolean disposing) [0x00000] in :0
at FSI_0001.FSharp.GnuPlot.GnuPlot.Finalize () [0x00000] in :0
Tested this on 3 different machines and a few Mono versions. I don't know if it's a bug in gnuplot or it's a problem with Mono.