When they are all sitting outside Cameron's garage and Cameron tells Ferris and Sloane that he's going to miss them.
While slightly cheesy, when Ferris and Sloane say goodbye and Sloane breathlessly says that Ferris will MARRY her.
There's also Ferris's extended aside to the audience after Cameron snaps, wherein he reveals that a) he just wanted to show Cameron and Sloane a good time before they all got separated, b) he really cares about Cameron and wants him to have a better life, and c) he wasn't kidding about wanting to marry Sloane. It's one of the few No Fourth Wall moments that isn't Played for Laughs.
While mostly played for laughs, the Bookend scenes with Ferris and his parents. While it shows that he is playing them like a fiddle, it also shows they are very kind and loving to him. The music playing in the background increases it to Tastes Like Diabetes levels.
Pretty much any time Cameron and Sloane interact. No one can deny that the chemistry between Mia Sara and Alan Ruck is massive, possibly even more so than her chemistry with Matthew Broderick. And unlike Cam's supposed best friend, Sloane demonstrates genuine concern for his well-being. For example, when Cameron goes catatonic, who sits patiently with him, strokes his hair and tries to get him to come back to life? Not Ferris! He's too busy Breaking the Fourth Wall. Indeed, in the original two-hour-plus shooting script, Cameron and Sloane were to have more one-on-one scenes than what made it into the film.
When Cameron wrecks his Dad's car, Ferris offers to take the blame for it, which if that offer was taken it would have not only gotten him in immense trouble with Cameron's Dad, but blown his cover about what he had being doing the whole movie. It's easily Ferris' top redeeming moment the entire movie that otherwise put him in Designated Hero territory.
A bit of YMMV on this moment for this troper. I thought that she did it less of a Pet the Dog moment between Jeannie and Ferris and more of a Kick the Son of a Bitch moment once Jeannie found the wallet and realized it was Rooney that scared her and got her arrested.
When Rooney makes his speech on how he's gonna use Ferris as an example that guys like him have no future, Grace remarks that he sounded like Dirty Harry for a brief second. Rooney is not only taken aback, but does a brief Clint Squint, before thanking Grace. It's especially heartwarming since, normally they snark at one another.
After Cameron begins ranting about his father and the way he treats him towards the end, Ferris looks just as sad and concerned as Sloane does for Cameron's well-being. He may have been insensitive and smug earlier, but his expression makes it clear that he definitely cares about what's happening now.