Okay, forget all my hypothesizing, because I just read Dark Reign: The Goblin Legacy, which just had one of those character profiles on Norman Osborn on the back. It says that the fling happened right after Norman, in one of his "sane" periods, saved Gwen and Captain Stacy from being kidnapped at one of Osborn's plants (the kidnapping was orchestrated by Wilson Fisk). I forget which issue that was, and it doesn't specifically say. Gwen went over to thank him later, and was both taken in by his charisma and drawn to his loneliness.