The opening sequence, with Gromit growing up from puppy to the dog we know and love.
At the conclusion of the fight with Victor, Gromit and the Were-Rabbit share a high-five — which leads Gromit to let go of his safety line. Were-Rabbit Wallace sees what is going to happen and dives into open air to catch him, cradling the dog against his chest as he falls.
Shortly after Wallace seemingly dies after saving Gromit, Gromit revives him with a slice of Stinking Bishop cheese and then we have the following:
"It's me again! I'm back! Gromit! You clever mutt! Well done, old pal!" (dances around, hugging Gromit)
Hutch going to the bunny preserve at Lady Tottington's. While she and Wallace didn't end up together, she'll always have him there in some form.
Gromit's Undying Loyalty to Wallace. His master may exasperate him to no end, yet at the end of the day he cares about Wallace very dearly.
The first thing that Lady Tottington does when she thinks that Wallace has died, is to comfort Gromit, despite how clearly distressed she is. She touches his shoulder, and even gives him a handkerchief to cry into. The fact she's extremely upset over Wallace's 'supposed' death is quite touching too, and shows that she really cares quite deeply for him.