The end of the first movie, when John finally meets up with Al Powell, who stood by his side when the FBI and everyone didn't and defended him, despite never meeting face to face before. They didn't even say their names or had any introductions. They simply looked at each other in the eye and knew automatically who the other was.
There is something oddly endearing about Gruber's companyh celebrating their ill gotten gold in Die Hard With A Vengeance. When one of the soldiers happily raises his beer "to our money", another solemly raises his "To Our Fallen Comrades", to which EVERY soldier present silently and sadly did. Even Evil Has Loved Ones, after all.
At the end of DieHarder, Captain Lorenzo tears up the parking ticket his brother Vito wrote for John. After being a Jerkass to McClane during the whole movie, it was a nice gesture.
In Live Free Or Die Hard, McClane calls Warlock through the ham radio and asks him to put him in contact with FBI sub-director Bowman, to which Warlock answers he is not going to do it, because it means risking getting caught by the FBI. When McClane says Gabriel has taken Lucy, Warlock puts him in touch without a problem.
The ending of the Good Day - Jack has come on good terms with John, accepting his name as a McClane, and after they avoid getting killed by Irina, Jack finally refers to John as "Dad" (not counting the first time in the film where they see each other) before John responds to him. They end up rejoining Lucy in the States as a family.