For all his complaining about her, in Spark of Insanity when Jeff asks Walter if he loves his wife, Walter says "of course" with no hesitation.
Dunham was adopted, which wasn't a big deal to him. He mentions he doesn't have an interest in finding his birth parents. The moment of heartwarming is in his autobiography when he has his first child and as he holds his infant daughter he realizes this is the first blood relative he's ever met.
The entire Achmed Junior sketch from Controlled Chaos shows Achmed and AJ bickering, but at the end, when Jeff asks AJ what he'll do if Achmed can't accept his not wanting to be a terrorist, we get this beautiful exchange.
AJ: I kill you.
Achmed: THAT'S MY BOY!
At the beginning of Achmed Saves America, Jeff asks Achmed who his favourite cartoon character is. Adorably, his answer is Tigger and Eeyore from Winnie the Pooh. He even wishes he could be a cartoon, 'just like Tigger'. That's ADORABLE.
When Jeff talks with Walter about Jeff's new wife Audrey, Walter is quick to insult Jeff's decision to marry, likening it to strapping oneself back in the chair after getting a pardon. He does, however, note that Audrey is "a nice chair".
The accompanying CD with the Very Special Christmas Special is mostly filled with comedic songs from the individual puppets, but the final song is a collaborative ballad from all of them wishing everyone a Merry Christmas.