After World 3, Mario dashes off to World 4 only to be stopped by a letter. Instead of Bowser and his troops wreaking havoc in some way, it has Peach praying with a thought bubble of Mario. Cue Mario looking in the moonlight nodding as he dashes away to rescue the princess.
After Mario rescues Luigi, the two of them run out of the castle and you can hear Luigi thanking Mario.
When Mario finally rescues Peach. Sure, it's definitely not the first time, but this one does get a special mention. Once they're reunited, Mario flies Peach away in a Tanooki suit, spinning and dancing with her in the air the whole way. When they finally sail off into the sunset in the direction of Peach's castle, there's a little heart-shaped cloud in the air after them.
If you save Peach with Luigi, you get a picture of the two in the Tanooki tree; however, you still get an equivalent picture with Mario if you use the red-capped brother.
Toward the end of Special World 8-Crown, the very last level of the game, you step on a switch, and instead of yet another deathtrap or bout of precarious platforming, it spells out "THANK YOU".