Cassidy was a recently divorced woman whom Sawyer conned out of a known 600,000 dollars. After thwarting his first attempt to con her, she asked him to take her out to one of his cons. He did, and he taught her how to pull a con. They continued conning people, and over time became a couple. The two of them may have been in love, however Sawyer still took her of her money, and left her. We do not know if the first 'blown' attempt was staged or not, or if he did it to gain her trust.
Sawyer appears to still be upset about it, as after his flashback of taking her money, he tells Charlie "I'm not a good person, Charlie. Never did a good thing in my life."