What is the connection between moments of Gaussians and perfect matchings of graphs?
This fact is a corollary of a more general theorem. Let $\gamma_1,\dots, \gamma_{2n}$ be (jointly) Gaussian random variables; we don't assume that they are independent or identically distributed. Let $c_{ij} = {\mathbb E}[\gamma_i \gamma_j]$ be the covariance of $\gamma_i$ and $\gamma_j$. Consider the complete graph on $\{1, \dots, 2n\}$; assign weight $c_{ij}$ to edge $(i,j)$. Let the cost of a perfect matching $M$ (i.e. a matching of size $n$) be the product of weights of the edges in $M$: 
$$\mathrm{cost}(M)=\prod_{(i,j)\in M} c_{ij}.$$
Then 
$${\mathbb E}[\gamma_1 \gamma_2 \cdots \gamma_{2n}] = \sum_{M\text{ is a perfect matching}} \mathrm{cost(M)}.$$

We get the formula for the $2n$-th moment of a Gaussian random variable by letting $\gamma_1 = \dots = \gamma_{2n} = \gamma$, where $\gamma\sim{\cal N}(0,1)$. We have, $c_{ij} = 1$ and $\mathrm{cost}(M) = 1$ for every perfect matching $M$; thus, 
$${\mathbb E}[\gamma^{2n}] = {\mathbb E}[\gamma_1 \gamma_2 \cdots \gamma_{2n}] = |\{M: M \text{ is a perfect matching}\}|.$$

The proof of the theorem is not difficult at all. Also I think that its statement is not surprising. Indeed, the joint distribution $\gamma_1, \dots, \gamma_{2n}$ is completely characterized by weights/covariances $c_{ij}$ and variances $\sigma_i = {\mathbb E}[\gamma_i^2]$ (that is, by the covariance matrix of $\gamma_i$'s). Thus $P={\mathbb E}[\gamma_1 \gamma_2 \cdots \gamma_{2n}]$ is a function of parameters $\{c_{ij},\sigma_i\}_{i,j}$. It is easy to see that $P$ does not depend on $\sigma_i$'s — if we add a Gaussian r.v. $\gamma'$, independent from all $\gamma_i$'s, to some $\gamma_{a}$, variance $\sigma_a$ will change, but neither $P$ nor parameters $c_{ij}$ and $\sigma_{b}$ (for $b\neq a$) will change. Thus, $P$ must depend only on $c_{ij}$'s. Further, the expression for $P$ must be symmetric and homogeneous (if we multiply all $\gamma_i$'s by $\alpha$, then $c_{ij}$'s are multiplied by $\alpha^2$ and $P$ is multiplied by $\alpha^{2n}$). Given these observations, the statement of the theorem looks very natural.