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Gale has had to enter his name in the reaping more than 40 times. Madge has only had to enter a few times. Madge comes from a wealthy family. She has not had to sign up for the tesserae which gives her better odds not to be picked.
Aslan's answer is quite valid. However, in my opinion (just an opinion), Gale's perceived rudeness is actually a case of jealousy or resentment. Gale did enter his name in the reaping many times but Gale was also the primary breadwinner for his family. His mother did laundry for others but the money she earned was far too meager to support the entire family. As Gale was the oldest child in his family, he took on the role of a father and dared to defy the Capitol on a nearly daily basis to ensure his family did not starve.
What child (yes, Gale is a child) would not be jealous of or even resentful of another child who lived in the proverbial "lap of luxury" while he struggled to ensure the survival of his family and himself? Jealousy and/or resentment is very difficult to hide as an adult.
How likely would it be for a child to suppress these feelings?
**This answer doesn't even delve into the relationship between Katniss and Gale which sheds even more light on Gale's reaction to Madge.**