Pick any scene with Goku and Sanzo bonding, any scene at all. I guarantee you'll feel like the sun itself is shining on you.
If this scene doesn't make you feel warm and fuzzy inside, you have no soul.
Basically any time Sanzo is smiling. That man refuses to smile for anything less than a Crowning Moment of Something.
During the Chin Yisou story arc, there's a small moment that always gets to me. Chin Yisou tricks Goku into falling off the side of a cliff and breaking his leg so he can replace him with a puppet decoy. Not only do the other three instantly know the decoy is a fake, Gojyo then goes out and finds Goku, carrying him on his back to safety as he can't walk. Aww.
Goku actually gets most of the way back on his own. But this is because he was found by Jeep. He was so happy to see a friendly face in his pain and lost state, he promised never to eat him. Which sounds trivial until you realize it's Goku.
When Gojyo is taunted in an early chapter by some random mook demons, who really don't even deserve mention, for being half-blood, he's all ready to brush it off like it's nothing, cause he's used to it and doesn't care. The others however, beat the ever-loving shit out of them, even though they were going to let them go. Yeah, I totally buy that they hate each other's guts. They're in no way True Companions. Whatever you say Sanzo.
Granted, they've only done that once, but that doesn't matter - they did it.
In Reload, when after facing down an entire clan of demons single handed for a random village, Goku faces off against the newly Brainwashed and Crazy Kougaiji. Expecting it to be like their usual mutually friendly bouts, and already exhausted, he doesn't expect the level of Kougaiji's ferocity and gets his ass handed to him. But the CMOH comes when after he ignores the injury, determined to fight on and not wait for his fellows to bail him out, and gains the upper hand, only for the others to come and tag him out. The moment they draw level with him, he collapses without a word, and they just automatically take over where he left off. The trust and unspoken communication in this is crazy awesome.
In the same scene, Kougaiji being snapped out of his brainwashed and crazy state by the loyalty of Yaone and Dokugakuji, and his loyalty to them in turn. Why are these guys more traditionally heroic than the actual heroes?
Any time Sanzo stops the Seiten Taisei, because of how insistent he is that Goku isn't any different in this form, and is just a stupid monkey, and couldn't hurt Sanzo if he tried. Goku is yet to prove him wrong on this account. The first example chronologically (in Burial) is literally minutes after Sanzo first finds out that the Seiten Taisei even exists and really has no idea whether or not the sutra is going to work as advertised (and it's the earliest use we've seen of the Makai Tenjo). Sanzo insists that he's never going to leave Goku, and he has no reason to worry about abandonment, while cradling Goku's head in his lap. All together now: AWWWWWW.
The first time Konzen stops the Seiten Taisei also counts. Until this point haughty Konzen has only expressed feeling burdened by Goku, but in this scene, he punches out the Merciful Goddess (his aunt) for him, doesn't move to dodge when the blood-thirsty rage machine that is the Seiten Taisei leaps for him, proceeds to hug him when he collapses, and nurses him even though he could wake up to kill him at any moment. And then makes him a new diadem (something he didn't even know he could do) essentially out of pure love. Okay, not really pure love, but IT MIGHT AS WELL BE.
Everything Konzen does once he and Goku are on the run counts. Abandoning his privileged station? Check. Jumping into an abyss to catch his falling charge (who fell in taking a blow for him incidentally)? Check. Refusing to let go even if it means they will both die? Check. Being unable to help with any of the fighting because the extent of his combat experience is "Kenren said aim for the family jewels" but defending Goku with his body instead? Check. Ultimately dying (in a pretty horrific way) to get Goku to safety? Check. Promising to find Goku in his next life, and return the favor of reaching out his hand and saving him from the sour monotony of heaven? Check. ACTUALLY DOING SO AS SANZO? Check and mate, baby.
For that matter, Sanzo saving Goku in the first place. He didn't remember the promise he'd made as Konzen, and Goku certainly didn't remember either. He'd been planning to beat the shit out of the voice in his head to make it shut up, but upon meeting Goku... he sets him free. And allows him to follow him home. And cares for him in his own way.
That Kanzeon allowed Goku to remember the name Konzen gave him. I couldn't really see the whole 'goddess of mercy' thing until she did that. I think it helps that Goku essentially taught her bored stagnant nephew how to live.
When Ukoku is erasing Sanzo's existence, he isn't happy about it, but he doesn't really start freaking out until he begins to realize that if he never existed, Goku would still be in his prison. And then he reaches out a hand, and in a fantastic mirror of him pulling Goku out of the cave, Goku pulls him out of the... black hole? Mood Whiplash then occurs with Goku and Gojyo fighting over whose fault it is Sanzo broke his neck when Goku tossed him out.
After the climactic fight in Reload, everyone accepting Sanzo back as if nothing had happened, and not even commenting on it. Just making fun of him for getting his ass kicked. This is especially impressive on Gojyo's part, with his abandonment issues, completely forgiving Sanzo for abandoning Goku (and him) is a huge deal.
Kenren standing up for Nataku and calling him a kid, not a weapon. And Nataku's thanks, accompanied by a play punch to the gut. Kenren thought that tap hurt more than all the torture he was put through for speaking up.
Hakkai, despite having angst about not knowing when his twin (and lover) was in danger in his backstory, knowing instantly when Gojyo was in danger in Burial. And then going to save him with umbrellas. BATTLE UMBRELLAS.
Gojyo, upon discovering Gonou to be alive and named Hakkai now, doesn't comment, just changes his order from one apple, to four, which implies the first time the four main character met up for something other than chasing down a mass murderer (Gonou) was over those apples.
Goku shocking Gojyo by comparing his hair to fire, instead of blood, thus reminding him blood isn't the only thing that's red.
Jikaku giving Sanzo his cigarettes (but not a lighter), and telling him that of course he reeks of blood. It's because there's so much flowing in his veins.
Kouryuu giving Shuei the prayer beads that were the only thing he had with him when he was found. Aka, the only possession that really belonged to him. And despite the horrific result of this, the fact that those beads kept a tiny bit of Shuei alive all this time is a bit heartwarming... even if it gets twisted.
Goku snapping Sanzo out of his Despair Event Horizon / Freak Out during his kidnapping by a demon, reminding him who he is. Even Hakkai remarked that only Goku could bring back Sanzo.
After fighting with Chin Yiso, Hakkai looked longingly at his short life line on his palm. In comes Goku who draws on his hand, making the life line longer.
Hakkai: "What should I do? This is permanent marker."
Gojyo: (with a smile) "Yep. It's permanent marker. It won't come off. Isn't that all right?"
After the end of the desert storyline in volume 6, the group is camped out in Jeep and Hakkai sees a shooting star. He muses that he can't think of any wishes:
Gojyo: That's because you don't have anything you need to wish for.