After Shahra's noble sacrifice, Sonic breaks down into tears. He even tries wishing for her not to die. Of course that doesn't work. Then again, that's more like a Tear Jerker moment.
Of course the real heartwarming moment is after that: when Shahra is revived and starts crying again. What does Sonic do? He wishes for more tissues, naturally.
The Black Knight
When Gawain is Driven to Suicide after losing to Sonic in their duel. Sonic confiscates Gawain's sword and tells him their are other ways to restore his honor.
Sonic sparing Lancelot after their fight off-screen earlier may count.
Even after everything Melina had done (and tried to do), Sonic just walks up to her, hands her a flower and tells her that "every world has its end. I know that's kinda sad, but...that's why we gotta live life to the fullest in the time we have. At least, that's what I figure."
The scene between Sonic and Percival (Blaze the Cat) after their battle was pretty adorable. Especially when she blushes at Caliburn's "hugs and kisses" remark.