If there's any issues I forgot, I'll edit them in.
X-Men #3 - When Mag tries to manipulate the X-Men into siding with him, against each other and against Earth. The reason Gambit and Rogue's true personalities broke through was because they displayed an obvious attraction to each other.
X-Men #4 - The famous basketball game that started their playful banter that still goes on to this day and when Gambit took Rogue for a ride on his motorcycle for their first date and she has found memories of this (X-Men #171).
X-Men #8 - The team and Rogue defend Gambit when he's accused of being the traitor...