Scott and Jean's interaction in an early scene, where it's clear something strange has happened to her powers, she has forebodings of something terrible, and and Scott promises never to let anything happen to her.
When Dark Cerebro is killing all the mutants, Rogue and Bobby hold each other's hands- ready for death. They don't actually die, though, but still...
Jean's death at the end of the film. While starting the X-Jet with her powers, she talks through Xavier, explaining to Cyclops why she has to do this; he tries to talk her out of it but can't - he even tries to send Kurt to teleport her back in, but he can't either. So, Jean bids them a sad farewell, sends the jet on its way and dies in the ensuing tidal wave. And then, Scott breaks down in Logan's arms- remember their mutual dislike- as he and the team comfort Scott. And then, of course, the scene after when Xavier talks to the two men and all agree they couldn't have stopped her as she made a choice; Logan tells Scott that she did make a choice - him (Logan having multiple times tried to come onto Jean only for her to turn him down each time because she was in love with Scott).
Xavier's eyes are closed while Jean is speaking through him. After she says goodbye, he opens them, clearly on the verge of weeping. He knows that he is about to lose a gifted student, loyal friend and surrogate daughter. Even before this, when everyone is scrambling to prepare for their escape, Xavier asks for Jean, who snuck out of the plane. The fear, devastation, fatherly concern, and frustration of knowing they cannot stop her, are all conveyed when he laments, "She's outside."
Kurt telling Ororo how people outside the circus always feared him but how he "didn't hate them. I pitied them. Do you know why? Because most people will never know anything beyond what they see with their own two eyes." He may not have been in it much but Alan Cumming's portrayal of Nightcrawler is perfect.