According to the Wikipedia article on the Thief series one of the features of Thief Gold is that it includes a behind the scenes "making of" video. If so where in the folder is it contained, or is this just another case of questionable Wikipedia user editing?

are you talking about the retail CD version? it's on the 2nd CD in the main folder iirc. The making of itself is about the 2nd installment, Thief 2.

should be this one: http://www.youtube.com/watch?v=CTwrEfES5Q4

I'm not sure why it's not on the GOG release actually... contact support and ask?

sorry now i understand your question.
the making of was on the thief gold retail release, but since its about thief 2, GoG included it with the Thief 2 goodies, not the thief gold ones.