Anything that shows Shovel Knight and Shield Knight together is either adorable or tear jerk-ish.
An easy to forget goes to the Order of No Quarter near the ending: Being defeated by Shovel Knight in succession they are left holding each other in a Chain of People, they hold each other, especially members who are falling after being defeated, and don't let go no matter what.
After the first phase of the Final BossShovel Knight can hold Shield Knight who is falling down to the ground just like in his dreams, Shield Knight's reaction cements the heartwarming feeling.
Shield Knight:... You caught me...
Shovel Knight:If only I had known, I would have come sooner!
Shield Knight:You knew I was still there, even though it seemed hopeless, you never gave up on me!
Shovel Knight:I will NEVER give up on you. I will follow you to the end of the world.
Shield Knight:It appears that maybe you have.
There's something about seeing all of the Wandering Travelers ready to fight together in the credits sequence that's just heartwarming. Especially The Baz, seeing as he finally got what he wanted: an order of his own to join.
The final battle, in which the player has to work together with Shield Knight to defeat the boss. The only way to reach the boss's weak point is by bouncing off her shield, and one screen-filling attack can only be evaded by hiding behind Shield Knight. It's heartwarming getting to see in gameplay how these two work together.
Special mention to the ending. Where Shield Knight is revealed to have survived, limps all the way to Shovel Knight's camp from presumably the Tower of Fate, sees that he is resting, and just lays down to rest beside him.