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, as it is implied she and Erazor had been in a relationship. What does Sonic do? He wishes for a pile of handkerchiefs so she can cry as much as she needs to. That is, if this isn't considered to be narmy or a case of Tastes Like Diabetes.
Sonic: Shahra, can you grant me one last wish? I wish for a mountain of handkerchiefs.(Handkerchiefs start gently falling out of the sky.) Now let yourself cry. As much as you need to. You'll have plenty of handkerchiefs to help you through it.
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.
This game has a special treat for the fans going through their treasury, namely a trio of videos of fanart from people around the globe, set to a slower, calmer orchestral version of "It Doesn't Matter". As a Sonic fan who routinely hears knocks against the Blue Blur from several sources, this made me melt inside because he really is still that loved.
The best part of it is that Sega didn't just use the "Quality" fan-art.