Problem plotting several data files with lines

Hi everyone,
I've a problem trying to plot several data files with lines, no matter of the terminal. I've to plot some curves from data files with a command  like:
>plot  "r0_d0.dat" ls 1 ti "z = 0" with lines,\
> "r1_d0.dat" ls 2 ti "z = R_{max}/2" with lines,\
> "r2_d0.dat" ls 3 ti "z = R_{max}/4" with lines

Only problem is that when I look at the output it shows only the first curve, the key, the labels etc. but nothing about the 2nd and 3rd curve. Note that is I choose to plot the 2nd curve with points and 3rd with linespoints this work... And note that if I try to plot something like
>plot  sin(x) ls 1 ti "z = 0" with lines,\
> cos(x) ls 2 ti "z = R_{max}/2" with lines,\
> cos(x)*cos(x) ls 3 ti "z = R_{max}/4" with lines
it works correctly.
What could it be and what could I do?

Thanks in advance,
Giacomo