Gordon Bennett also instituted a series of sporting events to promote his newspapers. In particular a series of balloon races. The race of 1923 ended in disaster, with 5 of 17 competitors dead from wind, rain or high-altitude snow.
Exclamation of shock or surprise, and a mild expletive - while reliable sources suggest the expression is 20th century the earliest possible usage of this expression could be in the USA some time after 1835, when James Gordon Bennett (1795-1872 - Partridge says 1892) founded and then edited the New York Herald until 1867. Known as Gordon Bennett, he was a famous newspaper innovator; the first to use European correspondents for example. Perhaps more significantly Bennett's son (1841-1918) of the same name took over the role (presumably 1867), and achieved great international fame particularly by association with Henry Stanley's expedition of 1874-77 to find the 'lost' explorer David Livingstone in central Africa, which Gordon Bennett (the younger) instigated and financed alongside the UK Daily Telegraph. Like many other polite expletives - and this is really the most interesting aspect of the saying's origins - the expression Gordon Bennett is actually a euphemism (polite substitute) for a blasphemous alternative, in this case offering an appealing replacement for Cor Blimey or Gawd Blimey (God blind me), but generally used as a euphemistic alternative to any similar oath, such as God in Heaven, God Above, etc.
From the word origins page at www.businessballs.com