Anything that shows Shovel Knight and Shield Knight together is either adorable or tearjerkerish.
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 with the platform she provides you, 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.