Reaction to the scene online has been mixed, given that the show has charted their relationship since they were kids. (For those concerned: As the HBO UK Twitter account noted, Arya is now supposed to be 18; Maisie Williams is 22. It's not exactly clear how old Gendry is in context, but he's likely at least 18.) They first met end of Season 1 when Arya tried to escape King's Landing as a Night's Watch recruit. She didn't really need any help when Hot Pie taunted her for having a sword, but Gendry had her back. He was quick to suss out that Arya was not, in fact, a boy, despite her attempts at disguise. Almost as soon has he told her he had that figured out, she let slip to him that she's more than just a random girl, but actually Arya Stark. He was ashamed for his frankness. "I should be calling you milady," he said. That term has some currency here.
Williams explained in "Game Revealed" featurette last week that her character has always been in love with Gendry, but she expanded on what Arya's decision actually means in an interview with Entertainment Weekly. "This is something she’s stayed away from, an emotion we’ve never really seen her engage with," she said. "David and Dan were like, ‘It’s the end of the world, what else would you have her do?’ This may be is a moment where Arya accepts death tomorrow, which she never does — ‘Not Today.’ So it was that moment where she says, ‘We’re probably going to die tomorrow, I want to know what this feels like before that happens.’ It’s interesting to see Arya be a bit more human, speak more normally about things people are scared of."
By the time Season 3 rolled around, these two (and Hot Pie!) had been traveling companions for some time, but were ripped apart when the Brotherhood Without Banners sold Gendry to Melisandre all in the name of the Lord of Light. Arya -- seeing through Melisandre's bullshit immediately -- was rightfully outraged, ditched the Brotherhood and was picked up by the Hound. (It's worth noting that Melisandre says she will "see" Arya again, once again eliciting the question: Where is she?)