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He states in the series that Euphy and Cornelia were the only half-siblings he really liked; Euphy he even states might have been his first love.
He says to a geassed-amnesiac Shirley that he "lost someone important to him" and when she asks if he loved that person, he says he thinks he did.
Although never stated, he clearly likes Kallen and at the very least enjoys her company.
His relationship with C.C. is probably more complex, but it clearly has a certain amount of love considering in the end, she's one of the two people he trusts the most.
And he most certainly "loved" Suzaku, whether a brotherly love or romantic love is up to interpretation (and whether you're a yaoi fan or not), but he certainly regarded him as an extended family considering their youths.