In "Psychocrypt," Zachary, subjected to Mind Rape on a nightly basis, and realizing his wife will die unless he rescues her, resigns his commission to make a suicidal attempt at retrieving her crystal. Commander Walsh locks him up for his own safety, but the other three break him out. When Zach looks at all three of them, realizing that they essentially gave up their careers (and in Shane's case, has sacrificed his own life) to give him that last roll of the dice, he's speechless, and can only manage a quiet "Thank you...all of you."
Another moment from the same episode. After Zach has been captured and is having his soul forcibly extracted into a psychocrystal, he sees Eliza one more time, and she comforts her grieving husband. "Our spirits will always be one."
In "Scarecrow." The titular villain has badly injured Niko, barges into her sickroom, and starts choking her to death. Shane breaks through the door and starts fighting Scarecrow off. The Scarecrow gets the upper hand, and Niko gets up from her sickbed long enough to scream at him and open fire with her shotgun. Scarecrow runs off, but Niko (still badly injured) faints from the exertion. Shane catches her and says (very quietly, certain she can't hear), "Easy, babe. Sleep now."
In "Queen's Lair" the heroes manage to sabotage the Queen's Wave Motion Gun and barely escape, only to find they are in orbit without enough oxygen to go back to the planet or get anywhere else safely. Niko's reaction is to take Shane's hand to comfort him (despite the fact he can survive vacuum for a short period - and they can't). Zachary quietly tells his team that "I've never been moreproud to be a Galaxy Ranger."
In "Mindnet," Shane is framed by his Archenemy Ryker Kilbane, and Senator Whiner wants his team to turn him in. Zachary tells Whiner off and ends the transmission. Shane thanks Zachary for backing him up, and Zachary states that "The day we don't trust one another is the day the Galaxy Rangers are finished." While the line itself is a kid-friendly soundbite, Jerry Orbach's delivery and the fact it is the first time Zach so blatantly stands up for his team cements their status as True Companions and makes it a great character moment.