I use gnuplot every day, that's surprising.
Last time I compiled manually gnuplot to have the font functionnality. Did you compile it yourself (I guess since 4.0 is the latest stable) and if yes, did you include the support for png when running ./configure?
Interactivly you can get the list of terminal by typing
I'll check my version and terminals cause I don't have full access now.
Do you need 4.2 for particular reasons? Its a bit bleeding edge...
Also this might give you info (not sure actually lol):
I generaly use terminal eps