The end of "Loser from the Earth's Core," when Nergal returns home after abandoning his family for over a year
Ms. Butterbean is legitimately touched when Billy gives her a gift as appreciation for being his teacher, even though said gift is a rancid apple she eats without bothering to wash or really look at, and eating it literally almost kills her.
Mindy's insulting Mandy in the episode My Fair Mandy where Mandy's entered a beauty contest against her. Grim, appalled by Mindy's behavior that actually seems to be hurting Mandy of all people, asks Mandy if she wants Mindy turned into a stinkbug or something. For all that Mandy's put him through, he's still willing to defend her against insults.
Not to mention when the parallel universe is created, Billy and Grim share a surprisingly touching moment as they hug and admit how much they care for each other. Bonus points for it being Grim of all people saying this to Billy.
In "Scythe for Sale", Irwin unknowingly buys Grim's scythe at a yard sale Billy's holding. And, big surprise, Grim wants to get it back. However, when Irwin goes power-crazy and uses the scythe to brainwash Mandy into becoming his girlfriend, Grim almost immediately seems to become more determined about saving Mandy over getting his scythe back. As aforementioned, even after everything Mandy's put him through, it's incredibly sweet to see him actually worried about her.
In the episode Son of Nergal Billy refuses to be Nergal Jr.'s best friend because Mandy is already his best friend, which is kind of sweet in it's own right; but when Nergal Jr. attacks Billy, Mandy immediately comes to the rescue and saves him.
Also, Mandy's shown in various episodes protecting Billy from bullies and other various dangers
Grim bonding with the nuns in "Sister Grim." Also, at the end of the episode, while the nuns are obviously furious with Grim for lying to them, he apologizes for it and assures them that he really did have a lot fun and enjoyed spending time with them. At this they forgive Grim, and they launch him and the kids back home to Endsville.
Near the end of "Spider-Mandy", Billy downs half a cup of Jeff's venom, thinking it's lemonade. When he comes to, Grim says that most kids that do that don't live to tell about it. Then again, most kids aren't friends with the Grim Reaper. Grim could have easily let Billy die from poisoning, but he spared him anyway. Shows how much Grim cares for the little idiot.
Pretty much any time that Grim shows the tiniest inkling that he actually does care about Billy and Mandy. Most of the time, it's Hypocritical Heartwarming, but it's still pretty sweet.