Amelia is thanking Gourry for helping her and Zel out, while Zel looks a little shell shocked.
Zelgadis and Amelia's first meeting was a bit . . . rocky, pardon the pun. They first meet in episode #18 of the original Slayers series. Lina and Gourry had been fighting about a dozen copies of a wizard named Vrumagen, while Amelia wound up fighting some monster that looked like it had been made out of dripping mud. Amelia dispatched the monster with a Bram Blazer, while Lina and Gourry made short work of the copies. However, there were more copies where the others came from, and the group readied themselves for another round of attacks. Before the copies could attack, Zelgadis comes flying through a window, very heroically, I might add, and throws a knife, which wounds the sorceress Eris, who had been controlling the copies. After several words were exchanged, Copy Rezo made his appearance for the first time. Everyone began debating whether or not he was the real copy, and Amelia freaks out and points at Zelgadis, saying, "What about this guy?! He's so creepy and suspicious looking!".
Zel's reply, "Excuse me?"
After Lina calms Amelia down, and they escape from Copy Rezo, Zel explains who he is to Amelia, who is no longer afraid of him, and Sylphiel, who has now rejoined the group. As this series winds it way to the final episode, Amelia comes to know and trust Zelgadis more, and vice versa. I think the turning point for Amelia's feelings was when Zelgadis formed a shield to protect Sylphiel and the badly injured Lina from Copy/Zanafar's attacks. It was shortly after that moment that she threw herself in front of Zel and put up a hasty shield to protect him from one of Copy/Zanafar's shots. The force of the blow knocks her into Zel, but a quick move from Gourry, who thrusts the Sword of Light in front of the attack, saves both their butts. Zel promptly chews Amelia out, saying that she should worry about her own hide, but it appears that he can't stay mad at her as he gives her a rather sweet smile at the end of his tirade. I think that this was the turning point for his feelings, as well. The foundation for friendship and something more had been set.