Pretty much anything Alex and Ellen. Particularly the episode "The Real Thing" where they met.
Alex: Remember that girl I was talking about? Ellen Reed? Elyse: The one you didn't like? Alex: Yeah, the one I didn't like, the one I still don't like. Elyse: What about her? Alex: I think I'm in love with her.
The end of the episode where Alex couldn't sleep was also great, when Elyse read him a story like he was a little kid again.
The episode "A, My Name is Alex," where Alex has a nervous breakdown after a friend dies in a car accident. His parents send him to see a psychiatrist and he talks about everything from being isolated in first grade for being the smartest kid in class, to admitting that he believes in God, though he doesn't like to talk about it.
Alex telling Skippy after he's been rejected by his birth mother that the people who adopted and raised him are his "real" parents because they love him.
In the episode where Mallory goes to elope with Jeff, Alex hugs her and tells her not to go. Twice. They've had their ups and downs, and while Alex catches himself after hugging her it shows that he truly does love his sister.
Even though, in the very first episode where Skippy Handelman appears, Alex treats him with just as much contempt as Mallory does — several of the latter episodes shows that Alex has a very tender spot when it comes to Skippy. Although, it does sort of make you wonder why he is constantly snarking at Mallory's perceived lack of intelligence — when his best buddy is even less intelligent.