There's a new interview with Joe Dempsie, and he talks a little about Arya and Gendry's relationship:
Game of Thrones' Joe Dempsie on Gendry: I Have "Bastard" Written All Over Me - Today's News: Our Take | TVGuide.com

I liked that he admits there's a potential romance for them in the books, though he says he doesn't see it happening in the show