There are a lot of things to consider here. How far you are into the coming out process in general, where you are location-wise (Southern U.S., New England, west coast..), etc. Of course some social climates are more accepting than others.
For me, it was very clear from my personal statement that I identify as queer, so in that respect it's a relief that I can go in without the burden of having to "come out" to the department.
Most likely there will be gay grad students wherever you go, so you won't have to worry about being the only one. Many schools also have gay grad student groups. I met several queer students when I went on one campus visit who were eager to tell me anything I wanted to know about the community.
It's always a personal choice whether to come out in any situation, but in my opinion it would be a heavy burden to have to stay closeted for 5-6 years in grad school.