In Sander Cohen's apartment, you can find a male and female Splicer slow-dancing together. No violence, no spewing hatred. Just the two of them, deeply in love, enjoying each others company. They won't even attack you unless you disturb them. For the romantic player, it's oddly touching to see that, even in the depths of depravity that Rapture has become, love can still exist.
Thanks to Bioshock Infinite, this is the canon ending now.
Saving each Little Sister is a minor CMOH in itself: you put a gentle hand to the girl's brow and hear her gasp/sigh, along with a few bars of Garry Schyman's achingly sweet violin theme, as everything goes white. When you can see again, she thanks you and scampers off to the nearest vent.
If you've been saving the Little Sisters throughout the first game, you'll see all of them playing in Tenenbaum's sanctuary. They basically start heaping praises onto you and say you're going to save them. That fact alone can give you the fuzzies.
The Little Sisters cheering you on as you battle Fontaine to the death. "Stick it in the bad man!"