Disappearance shows that despite Haruhi being a selfish, arrogant and sometimes abusive leader of a group of people who are pissed off at her for various reasons, the world is a better place with her and her godlike power. Because, until Nagato changed reality, there was no flu epidemy, much fewer sick students and even a girl who wanted to date Taniguchi. Okay, we learn later that the girl in question is a malicious alien sent to spy on Haruhi, but all of that still shows how much Haruhi cares for the world around her and wants it to be a little brighter.
After getting into a fight with Haruhi over the movie, Kyon catches her tying a ponytail and she becomes utterly mortified.
In Disappearance, after fixing the timeline and waking up in the hospital, Kyon promises Yuki that if the Data Overmind ever tries to punish her for developing emotions, he'll tell Haruhi everything, make her believe by telling her "I am John Smith" , and join the rest of the SOS-Dan in a crusade against the Data Overmind to get Yuki back. By rewriting the universe, if necessary.
Even better in the movie's version, with Kyon kneeling and holding Yuki's hands in his while he tells her. Once it starts snowing he also brushes the snow off her hair, gives her his coat, and pulls up the hood for her. One part heartwarming, two parts Squee
Also the brief shot of Yuki holding her hands up as it snows from the first season's opening gets an awesome and heartwarming callback. Especially considering how the series came out of nowhere to such great success.
Also from Disappearance, Haruhi spent three days sleeping in the hospital, watching over Kyon.
And then Kyon gently brushes the hair from her face, traces the outline of her lips and touches the corner of her eye.
Then entire wakeup scene in Disappearance qualifies. Haruhi shows her feelings by turning her normal personality UpToEleven with lines such as
Let me know when your going to wake up BEFORE you wake up! You can't just expect a girl to wake up and be ready like that! and
If you think getting hit on the head and not waking up excuses you from your duties, you got another thing coming! which is ridiculous even for her. How does Kyon respond to all this?
by not being snarky despite Haruhi's perfect setup lines. Shows how he feels also.
Disappearance again; Yuki is quietly reading in the Library after the credits rolled, she sees two young children doing the same thing she and Kyon did their first time there. Yuki looks at the children, then looks at the audience and covers her face with the book she was reading, d'aww...
"Quiz time's over! Time to answer the question! Don't you think that Haruhi, and all the weird things she made happen, were just a little bit fun? Spit it out!" "Yeah, of course I do! Of course it was fun! And I loved every minute of it! Don't go asking me stupid questions that are so... OBVIOUS!"
In Intrigues (Volume 7), when Kyon realizes the true meaning of Haruhi's treasure hunt: a distraction for giving Valentine chocolates. He even forgot the date (thus the reader isn't informed) because of having a crazy and tiring week prior so the shock is even greater. So heartwarming in fact that Kyon is almost brought to tears.
Also in Book 11, Kyon's thoughts after leaping out of a window to catch a falling Haruhi. As they are falling down (possibly to their deaths) he thinks to himself "at least we go out together." Awwwww.
Kyon's final conversation with Sasaki in "The Surprise of Haruhi Suzumiya", where, after Sasaki reveals how she's wanted friends all along, Kyon thinks to himself that he won't see her for a good while after this, but when they do meet again, he'll be sure to greet her with "Yo, old friend." Awwwww!
One of Kyon's lines in the latest novel — "Nagato, Haruhi, and Asahina-san. Those three are enough to fill me so full of happiness that I think I might just burst." Squee.
When Haruhi opens up to Kyon in the first novel and tells him why she tries so desperately to live an extraordinary life. It's obvious that, at least from her epiphany on, that she didn't have any friends. In the beginning of the novel, she's very hostile to any one who tries to befriend her. For her to open up like that to Kyon is huge.
Haruhi doting over Yuki when she is "sick" in the tenth novel. Kyon's narration even sounds warmly affectionate and proud of her genuine concern for a friend.
The first episode of "Endless Eight." Before you find out what's actually happening, it seems like the Brigade hanging out together and having fun like a group of ordinary friends.