Octave runs from the command line---just type the commandand away you go. It'll put you in an "octave shell" (think of the command prompt in MATLAB). N.B. You need to install gnuplot as well in order to be able to make figures.Code:octave
You could also try installing KOctave (again via synaptics) which will give you a graphical user interface for Octave closer to what you get with MATLAB. There's also octave-forge which contains a lot of contributed functions by Octave users.
If you're feeling adventurous there are also some Python libraries which enable you to replicate a lot of MATLAB functionality---have a search around this forum for MATLAB, I'm sure they've been mentioned many times before.
EDIT: Whoops, posted this without reading everything everyone else had written. Not enough coffee this morning.
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