How Bayonetta lunges for and cradles Cereza the first time she saves her. And, related, the achievement name "A Mother's Love" inspires warm fuzzies.
During Chapter XII: The Broken Sky, Bayonetta demands that Jeanne tell her where Cereza is. Jeanne immediately figures out that she's grown attached to the girl, and Bayonetta, trying to maintain her image as a badass, immediately denies it. It doesn't convince Jeanne, or herself for that matter. And on a more subtle level, it's rather interesting that her mind immediately jumps to Luka when told that she's grown attached to someone.
Bayonetta: Tell me where she is! Now!
Jeanne: My! Aren't we attached to our precious little one? Do you like it when she calls you "mummy?"
Bayonetta:(voice rising in pitch) You're absolutely delusional! If I leave her, he'll never shut up about it! And his whining is twice as irritating as anything the child could muster.
When Bayonetta saves and agrees to help Cereza, calling her "Mummy" is the first time Bayonetta shows any signs of vulnerability, and non-bad-ass-ness.
Bayonetta: When you cherish something, never lose it.
The moment where Luka puts on Cereza's glasses, sees the Angels, and finally realizes that Bayonetta didn't kill his father, but was fighting the Angels that did.
Cereza: Mummy is a witch, and witches protect people and are very strong. When I grow up, I'll be strong too and I'll protect my mummy! (Shedoes.)
The first time Bayonetta calls Luka by his real name.
Luka, entering with Cereza: Hey.
Luka: Is it over? ...What? It's not like you don't scare the shit out of me all the time.
Bayonetta: Cereza! I don't know whether to shoot you or to take you to Vegas for good luck, Cheshire.
Luka: Give me more credit than that. If you must know... where L-U-K-A Luka is concerned, there's no such thing as luck. Only skill. You didn't expect me to trust bitches... I mean witches, did you, Bayonetta?
Bayonetta: How's the little one?
Luka: Out like a light, but okay other than that. What about you? You really think I'm gonna let myself be seen in public with a girl looking all beat up like that?
Bayonetta: ...I look dreadful, do I? You'll have to learn to wipe that stupid look off your face, or I'll never let you keep chasing me around this world. Got that? ...Luka?
Luka: (laughs) Now that's more like it!
Near the end, when Cereza (when with Balder) acknowledges Bayonetta coming into the room.
Bayonetta: (relieved?) Little one...
After saving Cereza from Balder, Bayonetta puts her to bed in what seems to be the past. Bayonetta sings "Fly Me to the Moon" as she drifts off to sleep.
Jubileus is about to awaken, Bayonetta is unconscious, and it looks like Father Balder is about to win. Then Jeanne arrives, and the following exchange occurs:
Father Balder: Ahh. Jeanne. You've provided me with many blessings; the one and only authentic Left Eye. Merely seeing it must stir jealousy within you. Your body must yearn to feel a new universe form around it.
Jeanne and Bayonetta reminiscing about their pasts.
At the end of the second-to-last chapter, Bayonetta has her Left Eye awakened and she becomes immobilized by a back-from-the-fake-dead Balder. Luka, seeing this, stands between him and Bayonetta in a vain attempt to protect her. Doubles as a minor Awesome Moment since Luka had just been thrown off a skyscraper by the same guy, and he still tried to defend her, knowing full well what he was capable of. That's a far cry from the Luka we were introduced to who only cared about bringing Bayonetta to justice and avenging his father's death.
Hell, the ending when Romance starts playing is prone to produce the warm-fuzzies. Especially when Bayonetta pauses in her graveyard romp to pluck a flower from the Rosemary bushes Luka hauled in to lay on her casket.
Luka: In the language of flowers... rosemary equates to remembrance.