You can either download a *.dmg from http://octave.sourceforge.net/.
Or you can also install it via homebrew using:
brew install octave
I also wanted to install gnuplot including its AquaTerm terminal via homebrew (see Soeren's comment on http://slashusr.wordpress.com/2010/01/17/gnuplot-with-aquaterm-on-osx-snow-leopard/). But the build for AquaTerm failed :( :
cd /usr/local/Library/Formula/ wget https://raw.github.com/afh/homebrew/e39a0f094b957ea6d32a60386936484fa8683474/Library/Formula/aquaterm.rb brew install aquaterm && brew install gnuplot
But unfortunately I get the error
Error: No such file or directory - /usr/local/Cellar/aquaterm/1.0.1/Library/Frameworks/AquaTerm.framework/AquaTerm