The scene where Yorda, after spending most of the game being passive and having Ico help her around, returns the favor and grabs his hand to keep him from falling off the aforementioned broken bridge.
The ending after the boss battle is incredibly sweet. After Ico gets knocked out as he kills the Queen, Yorda awakens from her previous stone state in a black/shadow man state. She goes over to where Ico is lying, broken-horned, and picks him up as the castle they've spent the whole game trying to escape (and going all the way back inside after Yorda gets captured) falls around them. She carries him all the way to the boat they saw earlier and pushes him out to sea as she stays at the shore.
And The Stinger when Ico finds her afterwards means you can stop crying.
Doubly so in the PAL version if you pick up a watermelon.
When Ico manages to find the boats that first brought him to the castle, he could very well go ahead and escape on his own. Yet he doesn't, instead deciding to go back up for Yorda. He simply won't leave her behind.