In the cinematic trailer we see Zavala's journey as he is first resurrected as a guardian and why he's the Titan Vanguard. Zavala is killed time and time again while he helps rebuild humanity. By the end of it it's possible that hundreds of years have passed (Guardians have lived that long) and we eventually see the construction of The Last City as Zavala looks on with the crowds and a young Amanda Holliday, the people he's been protecting all this time. No matter what happened or how many times he fell, Zavala always got right back up and continued the fight because humanity was worth protecting. Though it will then go into Tear Jerker territory once you see it all destroyed soon after.
It's nice to see that despite the dire situation, Cayde is still at least able to put on the pretense of his usual joviality, while Ikora seems pretty amused by his absolute failure of a Rousing Speech.
The Traveler is subdued, your Ghost loses consciousness while your Guardian collapses. As Ghaul approaches, the first thing you do is grab your Ghost and pull away underneath yourself. And after Ghaul swats you aside, knocking your Ghost off the ship, you immediately reach out to it. The fact that you try to shield your Ghost with your own body, now very vulnerable at risk of a permanent death with the Traveler's light cut off, shows that he's is more than just your conduit to the Traveler's power. He's your best friend.
Immediately afterwards, your Guardian wakes up in two days, crippled by the fall and stumbling through a ruined canal. In the distance you can hear your ghost sounding drained but alive, calling for you. As the Guardian collapses once more, your ghost spots you, instantly rushes to your side and heals you back to full health.
When you complete all of the adventures on Io, Asher Mir reluctantly admits that without your help he would be hopelessly behind in his research, and then fumbles for the words for a bit before abruptly telling you to leave. You can tell he wants to thank you, but, well, he's Asher Mir after all.
During the last story mission on Titan where you're outrunning the Hive, Zavala orders Amanda Holliday to evac you out of the hot zone. Holliday is clearly uneasy about the task since she mentions beforehand that her ship is still banged up from the Red Legion attack on the city. However before she sets out, Zavala tells her to "fly fast, fly safe", to which she eagerly responds to with an affirmative and a stronger tone of confidence in her voice. When one thinks back to the young Holliday standing next to Zavala in the cinematic trailer and how her biological family is dead, it's possible that she sees Zavala as a Parental Substitute or at least someone she admires greatly. One line of reassurance from him is all she needs to get her moxie back.
During the questline on Titan to recover the tidal generator, in the final room you get the option to choose to fight or help the Fallen Captain, Mithrax, the Forsaken, who has been one step ahead of you during the entire questline. If you kill the Knight he's fighting but don't shoot Mithrax, he'll turn toward you, gesture toward you in approval, and then teleport away and leave the power core to you. Everyone watching - Ghost, Sloane, and Zavala - are shocked that Mithrax decided the give the device to you instead of fighting over it like every other Fallen you've met. Zavala even stops to wax some philosophy over it, and the situation raises the hope that maybe there are more Fallen like Variks who can be reasoned with.
During the final mission to retake the city, the Vanguard and Hawthorne's survivors fight side by side in order to defeat the Red Legion. When their forces get cut in half by a shield trap, Hawthorne volunteers to stay behind and save them while Zavala goes ahead to help bring down Ghaul. Zavala agrees and calls Hawthorne "Guardian" before heading out. This is especially heartwarming considering how Hawthorne doesn't have the best opinion of the Vanguard or The Last City, even going as far to compare it to a prison and Zavala believes non-guardians shouldn't be fighting the Darkness. The two are able to come to an understanding and develop a mutual respect, which also leads to Hawthorne being granted a spot in the Tower.
The lore entry for the Xenos Vale Bond/Vanguard Armor. It's a scene with Cayde, Ikora, and Zavala all sitting in a bar.... with the player. And they have this to say:
Zavala straightens and clears his throat. The Vanguard will continue until we are no longer needed, but I can foresee the day when you will... He pauses, searching your face.
The moment drags. Cayde juts his chin forward. Ikora hides a smile, then lifts her glass to you. When you will surpass us.
Wait, what? Cayde's chair drops heavily. He leans forward. Surpass' us? I didn't agree to that! This is a great job being a hero' party, not a Cayde is second-best' party.
Ikora winks at you. It's always been a Cayde is second-best' party.
After the destruction of Argos, Planetary Core, in the 'Eater of Worlds' Raid Lair, the Leviathan starts to suck you into its engines, about to turn you into Royal Wine. Then Calus teleports your team out of the inferno and into his treasure vault while showing his thanks to you. It goes to show that Calus is one of the most caring characters in Destiny that isn't from the Tower, like Variks.
His invitation as a whole. He could've ordered the Cabal to kick humanity while they are down but no. Let us celebrate Ghaul's defeat with glorious gladiatorial murder!
Failsafe's questline, "Thinking About Death", has you combing Nessus for the source of a signal from Failsafe's old captain. At one point, you encounter a Harpy... but it doesn't attack. It reveals itself to be based on the mind of Captain Jacobson, and after putting you through a Le Parkour-based trial, it leads you to Jacobson's dead body. Failsafe's reaction is tear-jerking, but Captain Jacobson's last transmission:
Captain Jacobson: The machines here are closing in on me... I think they mean to study me. If anyone finds this... I would do it all... again.
The Dawning/Christmas event is Heartwarming incarnate, as you present various gifts to the heroes of the Tower.
Zavala's is a Ghaul-shaped stress toy, which he gladly receives (and immediately starts using).
Failsafe gets a pair of earrings, which she obviously can't wear, but are still very much appreciated.
Ikora receives a book, which she takes with a smile.
Cayde gets... a Chicken-Sized Horn and Cape.
Banshee-44's though, may take the cake. A Bullet Locket, intricately crafted, containing artificially recreated memories of his past.
Banshee looks like he recognises what you've brought him, but you can't be sure. There's no mistaking the gratitude in his eyes though.
The Titan Firebreak Order, while regretful that they chose to flee the City instead of stay and die fighting like the Stoneborn Order, did manage to preserve the Fire Victorious, used to honor the fallen. Once the City is retaken, the Fire Victorious Ghost Shell lore explains how the Firebreak Order has recovered from it:
Consensus Meeting 3267.56
Zavala: "Callisto Yin. Thank you for joining us today."
CY: "My pleasure, sir."
Z: "You singlehandedly carried the Fire Victorious from the City as it fell, ensuring that the flames first kindled by Wei Ning so many years ago would continue to burn. For that, we thank you."
CY: "Any of the Firebreak Order would have done as much."
New Monarchy: "The repairs to Firebreak Plaza are almost complete. I think we may have the relighting ceremony as soon as next week."
CY: "With all due respect, we have decided not to bring the Fire Victorious back to the City. Not in the same way."
Future War Cult: "What do you mean?"
CY: "One torch in one city is too small."
Ikora Rey: "What do you propose instead?"
CY: "Now each of our Ghosts bears embers of the Fire Victorious. Wei Ning's flames will go with us to each new battlefield."
Finding and destroying all of the Memory Fragments in the Warmind expansion will reward players with... a Sparrow. A Sparrow created by the Exo Stranger, who's left it specifically for you to find.
Forsaken has an interesting mini-arc in the lore concerning what happened to Mithrax after he was spared in "The Enemy of my Enemy." He decided that past all of their flaws, and what they had done to the Eliksni, humanity still deserves the Traveller above all others. Then, he leaves the House of Dusk for greener pastures... that is, the Last City, and the Guardians.
It gets even better! He becomes a Kell of a new House: the House of Light. The Guardian-Fallen alliance is here!
Later, when you're recovering his stashes to repair the Ace of Spades, you find messages Cayde made to address whoever might've killed him, ranging from people he considered allies and even friends, some he had more mixed feelings about and others he outright hated. One of Cayde's messages is for Ikora, in the case that she killed him. He admits that if she ever had cause to kill him, she would've been in the right without fail, and that she was a good friend, even if he could never tell if she actually liked him or not. For what it's worth, however, as Ikora herself admits, she considered him the only person she had a healthy relationship with and considered him a friend, so the feeling was mutual. Cayde also left a message for The Young Wolf as well, saying if they had to do the deed he had no qualms about it, and tells them to take care of the Ace of Spades for him.
On completing the Forsaken campaign, Ikora gives you "Memory of Cayde". The kicker is the flavor text.
"Hey... take me with you."
The lore for the Abide the Return sword from Forsaken. An Awoken paladin comes to the Tower to request the Guardians' aid in defending the Dreaming City. Zavala's response: "The Vanguard stands with the Reef."
If you walk up to Eva Levante post-Forsaken during the Dawning, she tries to cheer you up, saying that Cayde wouldn't want you to be sad.
In an odd way, Asher Mir's dialogue after Cayde's death. Unlike the rest of the cast, he's not particularly upset about it (he neither knew nor liked him much); he's concerned for you. Dropping his irascibility entirely, he reminds you that both he and Cayde suffered horrific consequences from their pride, curiosity and desire for retribution, and wants to be certain that you understand the price you will have to pay if you continue on your dark road. He really does care about his best assistant.
Outbreak Perfected's lore tab sheds some light on Mithrax's involvement in the Zero Hour mission; he left the clues behind for the Young Wolf to find, when he could have instead brought along his Hunter and Warlock companions, because he knew it would be more significant to complete the mission without his own Guardian allies. Sensing his fireteam's trepidation about the whole thing, he offers them the classic Guardian saying, "Be brave". True Companions indeed.
Penumbra introduces the "Lumina" quest, which sees you acquiring the originalThorn, and purifying it back into its original form, Rose, before reforging the weapon anew from a tool of murder into a beacon of hope, the Lumina. Throughout the quest steps, you receive more pieces of the book Nothing Ends from Shin Malphur, which basically boils down to him being proud of your actions in both acquiring the Last Word and forging your own Thorn replica, and Passing the Torch to you.
One particular note in the Lore books is that Callum Sol didn't actually kill his Ghost; the whole thing was staged between himself and Shin, and he actually stabbed an already dead Ghost that was merely decked out with her shell.
While most of the Opulent Armor lore tabs are the bleakly hilarious "predictions" of Calus' scribes, one entry shows that, to them at least, Mithrax is considered the prime candidate for Shadow of the Eliksni.
Lumina's lore tab is just as much of a ray of hope as the weapon itself is intended to be:
In young languages, we sketched for each other the seemings of stars and planets and the black between galaxies.
We have devoted ourselves to listening. To the Cosmos, by crafting assemblers that can translate for us the mechanical language of Order. And to our own withins, by withstanding the howling storm until patience and humility made of chaosif not sense, then at least peace.
In a bit of a meta example, the Lumina quest in general is a breath of fresh air coming off a relatively long string of exotic quest weapons acquired through questionable means; Last Word involved a lot of involvement in Hive arcana and fellow Guardian slaying (crucible of course), Thorn was well, Thorn, and implications are that we stole Truth. The quests for Rose and Lumina on the other hand, are entirely wrought by fighting off the forces of Darkness and working together with your fellow Guardians.