Traditionally, gnuplot data files contain multiple columns, e.g.:
# x y
1 2
5 10
6 12
gnuplot does not support two single-column files, so I think you need to merge two files, e.g.
plot "< join file1.dat file2.dat"
if I remember right....
As an aside, if you are going to be doing any data manipulation or regression or such, I'd consider moving to R.