This one is kinda subtle, but the fact that Sonic is willing to go back to Robotropolis to rescue Sally alone after she's been captured really shows what Sonic is willing to risk for Sal. And he intended on going without a power ring.
And, after Sonic discovers the phoney, he retrieves the real Sally and they hold hands while looking into each others eyes for a few seconds before heading off.
When Sonic returns to Knothole with the fake Sally, amidst the cheering residents, Tails excitedly runs up and hugs her, saying he missed her. This nicely establishes their relationship.
As the Knothole residents carry Sonic and Bunnie back home, there's this exchange:
Sonic: Thanks for saving my life tonight, Bunnie.
Bunnie: Sometimes a metal body comes in handy, but I still have something a robot will never have: a mind and a heart of my own.
Sonic and Sally's interaction in the last half of the last episode. Up until then, Sonic insisted on taking on Doomsday alone. Especially since the only chance left to stop Doomsday was to use the Deep Power Stones to unleash a massive explosion. Since Sonic had already used his supply of power rings, this was basically a suicide mission. Then Sally tells him that they're in this together, however it ends, showing that she's willing to die with him. Sonic accepts her help. He even kisses her hand!
Right at the end, there's this bit:
Sonic: No more Robuttnik. Too bad.
Sally: What? "Too bad"?
Sonic: Hey, without a villain, what are heroes gonna do?
The final image the show goes out on in the credits: It's Sonic and Sally kissing, finally embracing their love for each other.
The episode "Drood Henge" is one for Tails, as it's the episode where he proves his value as a proper member of the Freedom Fighters; considering he'd spent most of the series as the Tagalong Kid, it's an excellent development in his character to give him more relevance to the plot; given what has been said about the plans for the cancelled third season, it would have been even better had the show not met it's unfortunate demise.
The scene where Tails is allowed to go on the mission is full of this. Sonic vouching for him, Sally accepting that he's growing up and Dulcy sobbing at how touching it is. It becomes hilarious when Dulcy is still crying when Sally wants her to take off.
At the very end of the episode, Sonic reveals that Tails was the one who came up with the plan. The implication being that Sonic gave the impression that it was his plan and waited til this moment to drop the bombshell and get his little brother made a Freedom Fighter. Awww.
The DVD contains a scene that never got past the storyboard where Tails attempts to capture Sonic with a trap as part of his training. It's a nice bit between them:
Sonic: Hey, Big Guy. Way cool trap.
Tails: Uh-uh. It didn't work.
Sonic: That's 'cause it was me. Anyone else woulda been capture-city.
Sonic: Would I lie to my best bud? On a Freedom Fighter test scale...that's a serious ten.
When Sonic agrees to get in the plane in "Sonic and the Secret Scrolls". It has been built by the Freedom Fighters, and Sonic's initial reaction to it was rather cold. The fact that he agrees to getting in it on the condition that he flies it happily helps soften the blow of Sonic's initial reaction to the aircraft.
Tails bonding with the baby terrapod in "Sonic Past Cool". There's a quite poignant moment wherein Tails, clearly painted as the only "real" kid among the Freedom Fighters, is told that it is supposed to be migrating and they have to take it back to its mother. Sonic, in his usual big brotherly fashion tries to break it to him by saying "he would miss his mommy." Tails' response? "I miss my mommy too." No flashbacks. No elaboration. No remark from Sonic. Just that small, somber line that reminds you of the evil dictator out there destroying everything he touches. It's heartbreaking, but it does make it so much sweeter when he refers to Bunnie and Sally as "aunt". As far as the Freedom Fighters are concerned, they ARE all family.
In "Fed Up With Antoine", when the Nasty Hyenas make him king, he disregards his fellow Freedom Fighters as peasants...except Sally.
Sally hugging a crying Bunnie in "Sonic Conversion" when the process to restore her real body is reversed and vowing to restore her one day.
The scene in Tails' hut in "Sonic Racer" has such sweet character moments - Bunnie reading Little Red Riding Hood to Tails, Sally worrying about Sonic entering the race, Bunnie putting her fears to rest, Tails' undying confidence in Sonic, and Sally motherly kissing Tails on the cheek. It really shows the familial bond between the Freedom Fighters.
Sonic comforting Sally after losing her father again in "The Void".
In "Super Sonic" Lazaar and Sonic wishing each other luck at the end.
The Series Bible consists of the characters introducing themselves and we get some very sweet insights into the character relationships:
Tails gushes bout how awesome Sonic is and claims that Rotor sometimes gives him piggyback rides or makes toys for him. And then there's this:
I love Princess Sally, too. She reads me stories and teaches me lotsa neat-o things, even about computers. She gives me hugs when I cry an' sometimes even when I don't.
Sally describes Tails as the little brother she always wanted but never had. Awww.
Sally on Rotor: "Dependable, sweet, and a real gentleman. Though you'd never know it look at him. He's the only boy I can talk to about very emotional things and he seems to understand".
Sally on Bunnie: "Bunnie is my best girlfriend, even though we're totally different people. She always makes me laugh and she's always there for me if I need her. Often, I wish I could be more like her".
As a tribute the fans that stood by and supported the show so long the DVD packaging (including both sides of the sleeves on the clear inner DVD cases) and disc art was made completely of fanart and pieces from one of the comic's artists. It really makes the release feel like a labor of love from Shout! Factory instead of the cheap cash-in it could've been.
One of the discs has this◊ adorable image of Sonic and Sally reading Tails a bedtime story.