One of the Harlequin's quotes is quite sweet when the tone is taken into account:
Harlequin: Let your enemies fear, for a Harlequin of the Laughing God dances at your side.
Similarly, the Ethereal's quotes are spoken in a very reassuring tone. It's easy to see why his mere presence buffs your entire army.
Ethereal: Banish your fear.
Ethereal: Take heart. The Ethereal Caste, is with you.
When Gabriel Angelos goes down during the final mission of Retribution's Space Marine campaign, Captain Diomedes tearfully praises him as the 'best of us' and swears that he will avenge him. Keep in mind, in the beginning of the game he derisively called him a traitor.
" Gabriel... you were always the best of us. And I will see you avenged."
Adding to this, at the end of the Space Marine campaign, when Gabriel is made Chapter Master, Diomedes says that the new rank is fitting and that none shall find him wanting. Again, this is a man he regarded as a traitor at the start of the game.
When playing as the Imperial Guard, Inquisitor Adrastia gets notably distressed at the same moment, and vows to inflict a Fate Worse Than Death on Kyras for it. It's established that she's an old friend of Angelos, but here's the main time you actually see it.
There's a bit of it in the Space Marine ending as well; her first line after being told that the Big Bad has been defeated is to anxiously ask if Angelos has survived.
The Eldar ending of Retribution and the reason for Ronahn's quest. Autarch Kayleth says "we should all be so fortunate to have such loyal kin". Veldoran replies "I believe we already do".
Tarkus defending the Imperial Guard at Angel Forge after Avitus repeatedly insults them.
Captain Thule staying behind to defend the body of Endymion, his former second-in-command, from an Eldar war host in the second mission of Chaos Rising.
In the Space Marine campaign of Retribution, Diomedes suffers a Heroic B.S.O.D. after Azariah Kyras reveals himself as a heretic and tricks them into causing the Exterminatus of Typhon. The Ancient, who up until this point has not said a word, speaks up and removes his helmet, revealing himself as Sergeant Tarkus. He vows to slay Kyras no matter what and reaffirms to Diomedes that their duty remains, and no-one but the Emperor can relieve them of that. His speech snaps Diomedes out of it. Doubles as a Crowning Moment of Awesome.
One of the Eldar victory quotes is "The Craftworld shall rejoice at our victory." Unlike most of the self-centered victory quotes (This victory will long be remembered in the Halls of Glory., We. Have. Triumphed.), this one reminds you that your forces are fighting for more than themselves, they're fighting for their Craftworld and their fellow Eldar who live in it. Quite heartwarming to remember that even though they're capricious bastards, the Eldar still fight bravely to help their race.
Cyrus gives some advice to Thaddeus that seems rather dark, until you remember what kind of universe this is, and he's right: Space Marines don't die in bed. He's telling Thaddeus how to cope with the whole crapsack universe when it finally catches up to him.
Cyrus: I will remember this day, when the end comes.
Thaddeus: The end? You are a dark one, Cyrus.
Cyrus: Your death is not merely a possibility, Thaddeus, it is a certainty. In this war or another, you will die. On that day, happiness will seem very far away. So save some of that victorious cheer. Store it away.
Makes you wonder if the unnamed space marine in the DOW III teaser was once one of Cyrus' initiates.
If you're playing a Tau campaign in Dark Crusade, one of Kais' lines is "Commander Puretide would be proud". Even having become a Shas'O himself, he clearly never forgot his training under Puretide.
The DLC Tau Commander for the Last Stand has a particular line which at first seems to be a verbatim quote of Farsight's famous line about how the starfarers are divided and could never join forces just to see their ancient enemies prosper. But it's not, it's a refutation of what Farsight said:
Shas'O: The hand of each of the starfarers has always turned against the other, and yet, in this final hour, we shall stand as one.