It started in 1492:

Klaus Mikaelson stood frustrated on the dock when a curious mermaid appeared in the water. He was immediately fascinated by her and knelt down to be closer to her. Mermaids are rare creatures and are considered legends. But here was one, talking to the original hybrid. They were the most beautiful hours of Klaus' entire eternal life. As he left, he gave her a silver ring with a small diamond and stole a kiss from her before he left.

Now we are in 2012 and Klaus has never stopped thinking about the Mysterious Mermaid. He couldn't even do anything with other women. It's like she put a spell on him back then.