When Lyra gives Tony Markorios a makeshift funeral, saying, "I hope it'll do if I provide for you like a Jordan scholar." And the moment ("What was her name?") when Pantalaimon realizes what she has in mind.
And then in The Amber Spyglass: Lyra and Will, having been forced into an agonizing separation from their daemons, essentially losing part of their souls, find their daemons again during the epic final battle, and due to suddenly having to grab at the two similar looking animals, each ends up holding the one belonging to the other. Usually touching another person's daemon is the worst kind of invasive taboo, but almost without realizing it Lyra and Will have fallen so deeply in love that this is simply the final confirmation of their intimacy. Honestly, it sounds like terrible fantasy hokum, but somehow it completely works.
The dialogue between Lee Scoresby and Hester during their death scene in The Subtle Knife, particularly:
" Hester, don't you go before I do."
" Lee, I couldn't abide to be anywhere away from you for a single second."