set key default
This disables the key:
unset key
This places a key at coordinates 2,3.5,2 in the default (first) coordinate system:
set key at 2,3.5,2
This places the key below the graph:
set key below
This places the key in the bottom left corner, left-justifies the text, gives it a title, and draws a box around it in linetype 3:
set key left bottom Left title 'Legend' box 3