when Lucy held Natsu back in the early episodes. and they were just looking at each other *fangirl scream* (so he wouldn't get hurt by that wind wall) the very moment that made me ship them...
Natsu wasn't thinking about anyone but Lucy when she was sick. he went to the festival only thinking about her & then he dug up a freakin' tree for her.
also that episode with Lucy's fateful encounter. she had a date but Natsu wanted to go on a job with her. first she turned him down & he was so sad!!!! *another fangirl scream*
but then she came anyway!.
and when a little raft Natsu was lying on floated away. Lucy ran after it & grabbed his hand just when they fell down a waterfall... and then another one. but anyway she held him so tight & wouldn't let him go.
in the first episode when Natsu just grabbed Lucy & started to run. and when she asked him y (OMG OMG OMG *LOUDEST FANGIRL SCREAM EVER*)
quote: well, you wanted to join our guild, right? *smiles* Come with me!
ghuygrlajrebgvuigaierbghjbgvlaseragitgerbjbv IT'S SO CUTE!! I'M DYING!!!
the dance was already posted & so was the rescue, so no point in repeating.
at Tenroujima when Natsu & Lucy were fighting Kain Hikaru Lucy was almost being crushed by him.
Natsu told her to run but she looked at him & smiled. she said she doesn't want to run away by herself because she'd rather be with everyone no matter what.
later when Acnologia appeared Lucy was nearly giving up. but Natsu took her hand & said: we're not gonna let it end here!
i know it's just a filler episode but do you remember when Lucy turned invisible?
her whole existence was fading away & everyone had forgotten about her but Natsu was the one who remembered her first!
Well the special chapter/episode "Watch out for the GUY YOU LIKE" is a massive clue. Notice how the title says "the guy you like"? And basically it was about Lucy freaking out about Natsu possibly liking her. It is obvious that Lucy likes Natsu more than a friend, even if she won't admit it. Plus when she was imagining about him and her, to me it looked like when Juvia thought about Gray.
In the Edolas Arc when they returned home and before they saw Lily and Lisanna Natsu had given his cape to Lucy for protect her from the rain when she is barely wearing anything. In Vol 23 Chapter 198: The wings to tomorrow page four you see Natsu wearing the cape then in page 5 you see Lucy wearing it. In the anime it is episode 94 Bye-Bye Edolas