Why? WHY?!?!?!?!?!!? 
http://www.popmatters.com/comics/spiderman-blue.shtml

Back in the prehistoric days, readers had no advance knowledge of what was going to be in an issue or, really, when a comic was even going to come out! Many times, fans would be searching the stands for books that had been cancelled without them knowing. When Gwen Stacey died in issue #121 of The Amazing Spider-Man, it was a genuine shock to many people because you didn't expect a major character to really die. It just wasn't done! Her death had the same shock value to many readers as a death in the real world. It was sudden, unexpected and unfair. Gwen was one of the most loved characters in the Spider-Man universe and certainly a strong contender for "hottest babe" in comics. Nearly every comic geek had hopes of growing up and finding a woman like Gwen. Her unexpected death introduced a new feeling of uncertainty in comic books. Suddenly, death was a reality. Not necessarily Spider-Man, but certainly every other character in his book was now a potential target. Everyone was fair game and no one was safe.
http://www.popmatters.com/comics/spiderman-blue.shtml
The framing device for the incredibly beautiful and emotionally moving 6-issue limited series Spider-Man: Blue has Peter Parker in the attic of his Aunt May's home, where he is going through some of his old things. He uses an old tape recorder to record memories of his first true love, the late Gwen Stacy. Peter speaks as if talking directly to Gwen, recounting events from the time they had together. Dialogue from Spider-Man: Blue #6, Marvel Entertainment Group: New York City (December 2002), pages 20-22; written by Jeph Loeb, illustrated by Tim Sale; reprinted in Spider-Man: Blue hardcover collection (2003).
[Peter sits on the floor of the attic, recording his conversation with the late Gwen Stacy into a tape recorder.]
PETER PARKER: For years I've tried to make some sense of your death. Something -- anything -- that I could call "good" that came after all that . . . bad . . . And all the time I've been sitting up here talking to you, I remembered something I don't think I've told anyone.
The night of your funeral. MJ [i.e., Mary Jane Watson] came to see me at the apartment. I was . . . putting it mildly . . . rude to her. I just wasn't up for that "Life is a party and MJ is the cake" thing. But, something happened that night. I think now your death was MJ's wake-up call -- that we weren't going to live forever and the party was going to end. Gwen, I don't think Mary Jane Watson could've had a serious relationship with me until she realized how much we all lost with you gone. She would later become my wife. I had to learn to love again, and she taught me how--
MARY JANE WATSON: Peter . . .?
[Peter looks up and sees his wife, Mary Jane Watson, standing at the top of the stairs.]
MARY JANE WATSON: Hi.
PETER PARKER: MJ . . .? How . . . How long have you been listening . . .?
MARY JANE WATSON: Long enough.
PETER PARKER: I . . . I'm sorry, MJ. I didn't mean for you to hear . . .
MARY JANE WATSON: It's all right. I just came up to make sure you were okay.
PETER PARKER: Yeah. I'm okay . . .
MARY JANE WATSON: Will you do me a favor, Peter? Say "Hello" for me and -- tell Gwen I miss her to . . .
[Mary Jane leaves. The tape recorder continues to record, recording only silence for some moments.]
PETER PARKER: That was . . . MJ, Gwen. She says, "Hi" and I . . . And . . . um . . . I should get going.
I guess when I try and sum up how I get -- how I feel sometimes around this time of year [Valentines Day] . . . I feel blue. Not like I've been dipped in with the Tidy Bowl Man, but like in music, in jazz . . . in feeling blue. And I long for a time when a girl I knew with an incredible smile and so much good in her heart made me think . . . life can be great.
[KLIK, as Peter turns off the tape recorder.]