The very end of the "Mr. Show: The Credits" (following Coupon: The Movie) in which some guy manages to find his buddy.
"I thought you totally bailed!"
"My shoes hurt too dad, my shoes hurt too."
In a bizarre sense, the end of "Operation: Hell on Earth" (the sketch). The leader of this hate group (all of the members who are quite amicable with one another) feels like he's a failure because they don't hate one another and because he wasn't able to set up a real bomb. After the leader runs off in tears, his most loyal follower announces to the group that will go on Operation: Hell on Earth "FOR KEN!" (which does lead to an eventual CMOF).
The "Spite Marriage" sketch also is heartwarming in a bizarre, unconventional sense. Notably the fact that they're doing many "happy" marriage things (serving lemonade while mowing the lawn, opening Christmas presents) while they're fighting. How sad they become during their brief break-up is also oddly heartwarming.