Lina and Gourry are like best friends, family, and something more all at the same time. They are so great together, and even though Slayers won't get serious enough for an actual relationship, what they have is so much more than simple romance. It's a deep understanding and acceptance that blows everything else away.

WARNING! SPOILERS!:
Examples of their connection:
Fight with Copy-Rezo/Shabradigo: Lina is hit by Rezo/Shabradigo while pushing Silviel out of the way. Note Gourry's reaction.
Lina: *gasp!* *falls, bleeding*
Gourry: Li- LINAAAAAAAAA! ...etc.
Same reaction for fight with Mazenda and Kanzel when Kanzel blasts her off the ledge.
In afore mentioned situation with Mazenda and Kanzel when Kanzel let a powerless Lina hear her friends losing the battle w/ Mazenda in the other dimension. Her reaction when Gourry said "If we gave up and started begging just from this, we'd never be able to face Lina."
That Gourry even said that.
After Lina comes back from Kanzel blasting her off the ledge and Gourry is so serious: "Well next time could you consider my feelings a little?"
That little scene in the last episode of the second season. ^_^;;