Choosing to save Zulf results in The Kid abandoning his ultimate weapon in order to save the game's main antagonist. This is followed up with The Kid, with no ability to hold a weapon, having to walk through the remaining soldiers of the Ura army in order to get back to the Bastion. And if that wasn't heart warming enough, after peppering The Kid with countless arrows, the soldiers soon choose to just sit back and let them both leave alive, with the last hostile soldier being cut down by his own commanding officer. Wow.
In a bit of a Meta moment of Heartwarming; ask a Bastion player whether they chose the Ram or Zulf. Almost universally they choose to save Zulf.
Rucks narration of the moment when the Protagonist meets Zulf for the first time plucks the heartstrings pretty hard. "And then? What do you say to a man that has seen too much? Kid hasn't a clue. But he says this: "We have to go... Please." Through Rucks, you can sense the Kid's desperation to save somebody, anybody from the broken world that he woke up in.
When you've completed the game, the credits sequence will show scenes of the characters in a "Where Are They Now?" Epilogue. If you choose to activate the Bastion's Evacuation protocol, one of these scenes will show The Kid finally getting some well-deserved rest after his ordeal, with Rucks placing a blanket over him in such a manner so as not to disturb him. Aww.
Really, the entirety of the Evacuation ending is a big heartwarming moment.
One screen shows Zulf bandaged up and preparing a meal... helped by the Squirt, which is now wearing a little apron.
The end credits song itself even picks up on new meaning, when taking the game's message into account. The lyrics are from Mother, I'm Here and Build That Wall, a dirge and a war song respectively...but when selectively combined, the lyrics in the ending song seem less about their original messages than they are about moving on and finding a home for the residents of the Bastion. From the shards of the old, something new and positive is born.
And if you choose to restore back to how it was before the calamity, you get to see Zulf and his fiance together.
The bit of dialogue you're told The Kid says when he finds Zia after she was "kidnapped" and gives her back her harp guitar:
The Kid (presumably): "Pardon me, miss, did you drop this?"
Also, Rucks's musing:
Rucks: Did you drop that just to see if he'd come and find you?