During the perfect ending, when the President says "Even though we tried to destroy him, he still saved us." after the comet is destroyed. And many responsible for the original attack on the station join in with many a My God, What Have I Done? lines to go around.
The slightly hero- Dark ending. Unlike the other endings where he ends up killing Eggman, he tells him to leave the sacred ark and never return, swearing to guard the place that was his home as long as he lives.
Shadow's dialogue with Maria in Lost Impact and The Doom.
Some of the post-game messeges are this. When you replay the game after completing it, you would hear your ally or an important NPC communicate with you (the replaying of the game is stated to be one massive simulation.)
One important one is how the GUN commander will actually inform that he has become a grandfather. The fact he is telling Shadow this shows the development the man has gone through in his relationship to the ultimate lifeform.
This one is quite subtle, but it's still there. G.U.N. are asked to hunt Shadow down, right? Well, Rouge is also a G.U.N. agent, quite possibly high up in the ranks. And yet, in the hero missions, Shadow is still willing to help her out, and Rouge appears to not tell G.U.N. what is going on. It's as if she's trying to protect Shadow, even at the possible risk of being fired. It shows how far the two have come since the events of Sonic Adventure 2 and Sonic Heroes. True Companions indeed.