Connect function generator to Arduino
Confirm with an oscilloscope

When I connect my function generator I usually always make sure that the output is in the range 0 to 5V, with my oscilloscope. The default is probably more like ±2.5V - but I don't have an Agilent so you would have to check. Press the Ampl button to check. (Mine reads 5VPP). 



You can see from the above image that we indeed have (roughly) 5VPP - and that there is a -2.56V component, which will damage the Arduino, being negative.



Add an offset

So press the Offset button and add a 2.5V DC offset. Now the voltage jumps 2.5V and is between 0 and 5V:



The scope confirms that the minimum is 80mV and the maximum is 4.96V, which is in range for an Arduino pin (assuming you are running an Arduino at 5V, which is not always the case).

Now you should be safe to experiment with different frequencies and wave-forms. Just leave the Amplitude and Offset alone. :)



Extra precautions

You could feed the function generator through an input protection circuit, just in case you absent mindedly forget to carry out the appropriate steps.



The zener diode will conduct negative voltages to ground (dissipated through the 1k resistor) and will also limit positive voltages to around 5.1V.