Catherine was great with this.
Going to this place and meeting Vincent's friends at the Stray Sheep after surviving a night of nightmarish monstrosities and just shooting the shit was a very cool feeling. Not to mention other scenes like talking with Orlando in the bathroom stall or at the sushi bar... Good stuff.
There's a lot of friendships in games that I enjoy but I can only think of a few that have genuinely moved me, like the hero and Jowy in Suikoden II.
The Traveler and The Traveler from Journey