To go back to the original poster's question, there are several web resources on the origins of the tune titles at least and these often show a fascinating history. Try the Fiddler's Companion which has loads to say about this particular tune
http://www.ibiblio.org/fiddlers/GAMB_GAY.htm
However, lots of Irish tunes have many different titles and which one you use will depend on who you learnt it from.