"I would rather be a ghost, drifting by your side... As a condemned soul... Than enter heaven without you. Because of your love... I will never be a lonely spirit."
The scene where it was just Mu Bai and Shu Lien sitting together and Mu Bai taking her hand and pressing it gently to his face. That small, simple gesture spoke volumes about how he felt for her and the look on her face said the exact same thing.
Lo and Jen's relationship.
Also, the brief scene of the two minor characters, the servant Bo and the police inspector's daughter May, after Jade Fox had killed her father. Bo was standing on guard at her house in case Jade Fox returned. May came out and quietly told him to come inside because since both of them are scared, at least they could be scared together.