John and Kate's conversation immediately after the cemetery shootout was rather touching, in retrospect. John tries to comfort Kate by saying that some things simply can't be changed, which hits John every bit as hard as the fiancee's death hits Kate (by virtue of, you know, the entire day's events proving beyond a doubt that all the crap he went through in T2 was for nothing). John feels completely helpless, but that he still tries to comfort her despite all of his own hope being lost helps to explain why they're eventually husband and wife.
In the Cemetery scene as a nod to the second movie, John makes a remark on how the Terminator was the closest thing to a father he had.
The T-850 acknowledging Connor as a friend, even though both of them know John has to die at its hands in the future.