Dirk giving Lloyd the key crest to help Marble, supplies for his journey, and wishing him well. What he says afterwards really sells the moment.
Dirk: Don't forget that you're still my son, regardless of blood. Come back here anytime you need to rest.
Lloyd and the party saving Genis and Raine after it's revealed they're half-elves and outright accepting them because to him, they're just people. The rest of the party also accepts them in their own way.
Healing Clara after Rodyle's Ranch. It may be an optional sidequest, but it's a nice little detail. The sequel shows after two years, Clara has recovered fully and is the new Governor-General of Palmacosta, following in her husband's footsteps.
If Lloyd fails to get the Spiritua Statue in Thoda Geyser, whomever is closest to him at that stage in the story will rescue him.
Bonus points if it's Kratos.
Sheena joining the party to help save the people of Luin, who previously were the ones giving her shelter in Sylvarant.
Colette's kindness toward Sheena is more meaningful when you realize her own clan shunned her after failing to make a pact with Volt.
Raine translating Volt's speech to help Sheena in the Temple of Lightning, particularly as before the two didn't get on very well.
Presea pulling a Big Damn Heroes on the floating island, particularly by saying that Colette isn't wrong- the system that demands the sacrifice of a Chosen is. Afterwards, Presea smiles for the first time.
Lloyd's speech after beating Kratos in their duel in front of Origin's seal.
Kratos: You've grown strong.
Lloyd: Thanks to you.
Kratos: Aren't you going to finish me?
Lloyd: I defeated Kratos, the angel who betrayed us. And I forgive Kratos, the hero of the Ancient War, who helped us. That's all.
The entirety of Welgaia and Lloyd rescuing the party members from their respective phantoms that attack their flaws. They break out because despite whatever flaws they have, Lloyd accepts them for who they are no matter what. The best examples of this is Genis & Raine. As well as Kratos.
Kratos: Begone phantom! My son needs me!
Kratos' Taking the Bullet moment. It's just after it's been revealed that he's Lloyd's father. He blocks an energy blast from Yuan, and asks Lloyd, "are you alright...? Good." and then passes out. And now his cryptic "Don't die, Lloyd" starts to make sense, and we get the horrible creeping feeling he's been struggling to help Lloyd from the shadows all along.
In return, every time after this scene where Lloyd calls Kratos "dad" also counts.
Practically every Flanoir scene Lloyd can have with the eight party members. They don't just tell you more about the character themselves, it also shows that each have grown close and trust Lloyd completely, they're okay with revealing their most vulnerable sides to them. Particularly in Zelos' case, who already starts out with the lowest trust for Lloyd.
If you choose Zelos to be the one who cooks the curry, the gnomelette scarfs the whole thing down without even tasting it. Zelos dismisses it by saying he really didn't try when cooking it. Others immediately call him out, saying they saw how much effort he put into it, that he was even sweating. Before Zelos can interject any more, Lloyd says that he tried out some of Zelos' curry and that it was really good. That it was a waste to give it to the gnomelette. crosses over to funny territory with Zelos' reaction.
Zelos: *Goes over to Lloyd and opens his arms as if asking for a hug* Bud! ♥
Lloyd: H-hey! Knock it off!
If you chose to stay at an inn after getting Virginia's Diary it will trigger a skit between Genis and Raine. Genis mentions that, to him, meeting their mother was weird because, even tough she is his sister, Raine always felt like a mother to him. Raine has a brief reaction she dismisses when Genis asks if something is wrong, but you can tell how much that meant to her.
You can also tell Raine was touched that he thought of her way.
"Kratos obtained the title of Dad."
When taken as an arc, Lloyd's relationship with Colette is probably rivaled only by Talesofthe Abyss's Luke and Tear, in terms of relationship development. From a young age Colette was raised to be a martyr for a goddess, however, Lloyd refuses to see her that way. He grows more concerned as she progressively loses her senses as well as her humanity. In the Tower of Salvation, Lloyd actively rebels against Cruxis's dogmatic control, so Colette won't sacrifice herself. He repeatedly throws himself against enemies more powerful than himself for her sake. This eventually progresses to Lloyd and Colette's scene in Flanoir (should you choose her) where she rewards Lloyd's devotion with a cute snow bunny.
Dirk at the very end entrusting his finest blade to Lloyd, and forging the Eternal Ring needed to wield the Eternal Sword for him after it's revealed Kratos had been collecting the materials while acting as a traitor. Dirk telling Kratos "After all, he's my son, too," is the icing on the cake.