'Gordon Bennett!' is, apparently, an old fuddy-duddy British slang word, somewhat equivalent to 'Jesus H. Christ!' or 'Well, slap on a dress and call me Sally!'. Near as I can tell, it's only meant to convey surprise, no more.
You gotta wonder exactly how a silly phrase like this comes about. Something in the kippers, you'd think... but there appears to be a semi-half-kind-of-not-really logical explanation. Other people have done research; I will lay bare the secrets that they hold.
Most stories claim that it came from a New York paper magnate of the late 19th century, one James Gordon-Bennett, Jr.. Now, anyone who controlled the press in those days held some real power and slight celebrity (think Hearst) so it's not inconceivable that he'd be known overseas for his editorial work. But he's more known for spending gobs of cash at every available opportunity.
Besides his funding of adventurers (Stanley to Africa to find Dr. Livingstone, G.W. de Long's attempts to reach the North Pole) he established polo and yachting in the United States, forever giving silver-spoon kids like him something to do on the weekends besides croquet. The balloon races he set up are still being run, under his name; his original automobile races on the Isle of Man later became the TT races.
Oh, yes, and there's the widely reported time that he put a brightly burning fireplace out with piss during a high-society ball. And the one time that he supposedly kept guests warm with legal tender (lit aflame). And there was something about him being horsewhipped by his fiancee's brother, although I couldn't put that in any sort of context; but then again, any context where you get the lash from an in-law just can't be good.
Anyway, the upshot is: James Gordon-Bennett, Jr., lived a full and scandalous life that made him the butt of jokes the world over. His later years, of which every history will only say 'He lived on a huge boat in France and spent his entire fortune before he died', were apparently enough to cement him in the collective memory of at least one country.
And that's where most people leave it - from that wellspring of sin, vice, and iniquity that was James Gordon-Bennett, Jr., somehow, his last name became a (semi)popular saying.
But one last dive into folk etymology here - Gordon-Bennett sounds quite like that old Cockney standby, 'Gorblimey!', which is a corruption of 'God blind me!', which is not unlike 'Sweet creamy shit!' or any of the phrases listed at the top of the writeup. So, the same way that the Ned Flanderses of North America will replace a good, straightforward curse like 'Goddamn!' with 'Gosh darn!', various Britons (who, as a culture, are much more like Ned Flanders, if Flanders was excessively silly, secretly told the rudest jokes, and loved cricket) replaced the full-of-local-flavor-like-Worcestershire-sauce expression 'Gorblimey!' with the watered-down euphemism of 'Gordon Bennett!'.
Credit goes to various slang dictionaries, and most notably the wonderful Word Detective, at www.word-detective.com. Isn't is horrifying the way I can stretch a simple concept into a seven-paragraph essay?