Do you guys like DnD? Personally, I'm not QUITE enough of a nerd to enjoy DnD but I got stuck doing a campaign with my girlfriend (she's far less nerdy than me and far more bored by it) and her friends but I can totally see it being a fun thing for just the two of you if you role-played it right.
Besides, there's nothing like a little role-play for some romance ;D
If DnD isn't really your cup o' tea, the LAN-Prom suggested above actually sounds kinda cool. Movies, as cliche as they are, are always a great way to spend time together. You get to cuddle up for a couple hours and hopefully miss a chunk of the plot due to..... distractions

With video games, it's harder to get the right time for those "distractions", unless you're like, cuddled up on the couch playing together or something.
Whatever you do though, make sure that it involves both of you and some sort of interaction. As long as you're close to each other and doing something together, you'll be bonding and enjoying one-another.