To use Greek letters in a plot command, for instance to label the axes, set the appropriate font option to SYMBOL.  Then, when you enter a letter, the corresponding Greek letter is used.  For example, enter "r" for "rho", and  is displayed.

The following is a list of corresponding Greek symbols.

In this example, we set the label font for the plot to SYMBOL and label the axes  and .

plot(sin(r), r=0..3, labels=["r", "Y(r)"], labelfont=[SYMBOL]);

You can also use typeset math in a plot command to enter 2-D math, including Greek symbols, anywhere in a plot where text is allowed.  See plot/typesetting for details.