Fig. 1 Klein bottle (code to produce this figure)

In order to reach Fig. 1 we start with the definition of the parametric functions given in Wikipedia and do a simple pm3d plot with them.

set parametric
x(u,v)= v<2*pi ? (2.5-1.5*cos(v))*cos(u) : \
        v<3*pi ? -2+(2+cos(u))*cos(v)    : \
                 -2+2*cos(v)-cos(u)
y(u,v)= v<2*pi ? (2.5-1.5*cos(v))*sin(u) : \
                sin(u)
z(u,v)= v<pi   ? -2.5*sin(v)             : \
        v<2*pi ? 3*v-3*pi                : \
        v<3*pi ? (2+cos(u))*sin(v)+3*pi  : \
                 -3*v+12*pi
splot x(u,v),y(u,v),-z(u,v) w pm3d

The result is shown in Fig. 2.

Fig. 2 Klein bottle plotted only with pm3d (code to produce this figure)

Now we add some lines to the surface and hide parts, which are not visible in 3d.

set pm3d depthorder hidden3d 1
set hidden3d

Here the depthorder option takes care of the right positioning of the bottleneck going back into the bottle, which is not correct in Fig. 2. The hidden3d 1 option draws lines in the right order for a correctly looking 3d plot using line style 1. The additional set hidden3d command takes care of showing only those lines that are visible in 3d. These options will result in Fig. 3.

Fig. 3 Klein bottle plotted only with pm3d and hidden3d (code to produce this figure)

In order to reach at Fig. 1 we just have to set the surface to be transparent, which can be done by the set style fill command.

set style fill transparent solid 0.65