>could you process the produced texnansi-bh-lucida file? if so, lucida should work ok 
>
>  
>

Do you mean \loadmapfile[texansi-bh-lucida.map] ? If so, I already use 
\loadmapfile[ec-bh-lucida.map] (Lucida works well for my document) and 
according to http://wiki.contextgarden.net/Gnuplot section "More complex 
example with MetaPost" I have "to play with |set terminal mp {fontname}|" !?

I have a working example with \setupGNUPLOT[method=mp,option="hlhr8r"] 
but the math gives CM... Moreover, how to deals $\vec{x}$ or \Milli 
\Meter for example ?

Renaud