pgfplots / gnuplot: How to draw a 3D two-parametric function

You get a .gnuplot file that you can look at to see which code is being passed to Gnuplot.

For your case you get

set table "test.pgf-plot.table"; set format "%.5f"
set format "%.7e";; set samples 25, 25; set dummy x,y; set isosamples 25, 25; splot [x=-5:5] [y=-5:5]  set parametric splot cos(u)*cos(v),sin(u)*cos(v),sin(v) ;

As you can see you get splot <domain settings> <your code>, meaning that Gnuplot gets

splot ... set parametric

which doesn't work because after splot and options there should be a function expression. You can also see the error from Gnuplot in the .log file, it says

"test.pgf-plot.gnuplot" line 2: undefined variable: set

where the set in question is that in set parametric.

To fix this you can use the parametric key on the TikZ side of things instead of set parametric:

% arara: pdflatex: {shell: yes}
documentclass[margin=3mm, tikz]{standalone}
usepackage{pgfplots}
pgfplotsset{compat=newest, width=7cm}
begin{document}
begin{tikzpicture}[font=footnotesize,]
begin{axis}[title={Works not - what do I have to set?}]
addplot3[]
gnuplot [parametric=true] {
cos(u)*cos(v),sin(u)*cos(v),sin(v) 
};
end{axis}
end{tikzpicture}
end{document}

Or you can use raw gnuplot. In that case you need to set the domain and sample size in the Gnuplot code instead of the pgfplots being passed on:

% arara: pdflatex: {shell: yes}
documentclass[margin=3mm, tikz]{standalone}
usepackage{pgfplots}
pgfplotsset{compat=newest, width=7cm}
begin{document}
begin{tikzpicture}[font=footnotesize,]
begin{axis}[title={Works not - what do I have to set?}]
addplot3[]
gnuplot [raw gnuplot] {
set parametric;
splot cos(u)*cos(v),sin(u)*cos(v),sin(v) 
};
end{axis}
end{tikzpicture}
end{document}