Ralof and Hadvar are the first two characters in the game that seem to have any concern for your well-being (Lokir doesn't count). Ralof/Hadvar (whichever one you followed) was with you in Helgen, helped you out quite a bit (he is the one giving the tutorial, after all), takes you to Riverwood where his equally friendly family (Gerdur's/Alvor's) helps you out with supplies, bed, and setting backstory particularly focusing on the civil war (admittedly biased according to which side you followed, but that's deliberate), and promises to vouch for you to Ulfric/Tullius. He says you saved his life in Helgen, but that's probably just modesty.
If you pursue the civil war according to the side you followed in Helgen (and remember that the setting backstory you receive in-game is deliberately setting you up to join that side), they're with you in Korvanjund, Whiterun, Fort Neugrad/Fort Kastav, and the "Compelling Tribute" quest. (Also, I think they might be with you in the Battle for Solitude/Windhelm, but I have no saves near there so can't check.)
In many ways, Ralof and Hadvar are to the Stormcloaks and Imperial quest lines what Brynjolf is to the Thieves Guild questline, and Brynjolf is also a very popular but unmarryable-sans-mods character.