I need a transparent background for my plot key so that grid lines remain visible. However, you may see that there is a white overlay below the entry of the key which seem to be drawn on top of the grid.
Here is the code creating picture above:
set terminal png size 512,512;
set output 'key.png';
set grid;
set key Left reverse nobox;
plot [0:3] sin(x) with line title "Sine wave", [0:3] cos(x) with line title "Cosine wave";
That's the way the program is designed. The grid is masked so that it doesn't occlude the key area.
I think the simplest way to get what you ask for is to place the titles explicitly rather than auto-generating the key:
set xtics 1
set ytics .1
set grid lt 1 lw 0.5 lc "black" dashtype "."
plot sin(x)/x lw 2 title at graph 0.9,0.9, \
sin(2*x)/x lw 2 title at graph 0.9,0.85