How do I run Gimp on Mountain Lion?
Apple decided not to include X11 in Mountain Lion: Apple Support Article

But there is now a native version of GIMP for mountain lion which requires no X11:
Gimp Downloads 

However, if you need to run the old version of GIMP you can download xquartz as mentioned in the apple support document linked above.

When you try to run GIMP again, you can find Xquartz in  

/Applications/Utilities/XQuartz.app

Enjoy GIMP!