Incidentally, I have installed Octave GNU today twice on two different machines (both running Lion).
I needed the latest version of Octave (3.6.4), and used Homebrew.
I already had XCode installed, so the rest:
Install Homebrew
Based on the instructions in this page, I ran:
ruby -e "$(curl -fsSL https://raw.github.com/mxcl/homebrew/go)"
Install Octave
Following this guide, I ran:
brew tap homebrew/science
brew update && brew upgrade
brew install gfortran
brew install octave
Install AquaTerm
Notice that you need this before you install gnuplot (or gnuplot won't see aqua as a valid terminal and you may get 'unknown or ambiguous terminal type' error).
Simply downloaded the latest version (1.1.0) dmg from SourceForge.
Install gnuplot
brew install gnuplot