The last episode of Slayers Next, when Gourry risks his life to save Lina by leaping right into the big ball of chaotic doom that will destroy her, demanding that the god of the Slayers universe give her back. It's made all the sweeter when, after Gourry seems to have lost hope, Lina is recreated and they share their first real kiss.
It's made particularly sweet because of Gourry's poignant words in the previous minutes, as he floats through the Sea of Chaos to catch up with her. "Maybe you're stubborn and sort of perverse. Maybe you trick people with your charm. Maybe you look down on anyone who's weaker than you, but I... But I need you! LINA! DON'T LEAVE ME!"
Also keep in mind that Lina used the Giga Slave specifically to save Gourry. The Lord of Nightmares says it herself; Lina didn't call on her power to save the world or the rest of her friends, she cast the spell so she could save him. Lina chooses Gourry over the entire world.
The build up of Lina and Gourry's relationship to that point too. At the halfway point of the season, after Lina fakes her death to get the jump on their enemy, Gourry bops her on the head and scolds her about thinking about his feelings next time she does something like that. Instead of getting mad or retaliating like she would usually do, Lina just blushes and apologizes.
And then five episodes later, there is some more ship teasing between the two, with Lina clinging to Gourry when she gets scared (and then shoving him aside) and Auntie Aqua asking if there's anything going on between the two of them. It culminates when Lina and Gourry have a quiet moment alone by the fire and we get this dialogue:
Lina: So uh, Gourry, we've been traveling together for a long time now, haven't we?
Gourry: Oh, has it been that long?
Lina: Well, you know, it just...it just seems so natural to think of you being with me...
Gourry: Well Lina, I am your protector after all.
Lina: So then, how long do you plan on protecting me?
While all of the season finales' ending songs qualify to some degree, the credits sequence for Slayers Try really hits squarely. Scenes of Filia dedicating herself to the redemption of both her race and Val by raising him as her son in a quaint antique shop, Amelia momentarily halting her work to gaze wistfully out her palace window, faraway questing Zelgadiss as he sips from a canteen with Amelia's keepsake tied around it, and Lina together with Gouury play out, all as Filia's VA sings the beautiful Somewhere.
When he started writing the light novels, Hajime Kanzaka stated that the series would be strictly No Hugging, No Kissing. He later changed his mind, saying that he meant to keep romance out of it, but Lina and Gourry fell in love on their own.