One of the characters I'm playing at the moment has a crush on his big sister. See, he died and was pulled out of the afterlife by her - but in the same instance, he lost his memory, so by the time he started thinking of her as "my sister" instead of "the amazing woman who saved my life through force of will alone, and by the way is outrageously attractive" he was kind of stuck with it. He later recovered parts of his memory (a long story) and got into a relationship with a different character, but he's still kind of hung up on her. It doesn't seem that anything will ever come of it, but since the guy he's in a relationship with is fairly polyamorous and also likes said sister, well... I'm glad that he's undead and can't make kids, is all I'm thinking ^^;
I had a 2E character who, by accident of fate, wound up falling for his own son. Long story... the son was a
Baldur's Gate II character who knew only that his father had raped his mother, though he was unaware that he was a Bhaalspawn. He eventually found out that my character, whom he had assumed was his father - because, you know, he was a guy - and therefore hated, was actually his mother, whom he loved and mourned. The moral of this story is probably to never give a confused bisexual sorceror access to "alter self". It turned out with an uneasy understanding between them, but nothing physical, excepting the sorceror's fantasies.
I once had a d20 Modern character with a somewhat tragic background, in which she saved her younger sister from ongoing sexual abuse by their father (by killing him with a crowbar... she was that kind of character). This led to a somewhat sweet but very awkward situation where my character was forced to desert her sister, after realising the younger sister had in turn fallen for her. Listening to Sarah McLachlan inspires some weird lesbian love triangles. It turned out in a "melancholy but for the best" sort of situation; the younger sister, unable to find my character, had to learn to make her own way (and became a songwriter, because I like in-jokes). I think they met up again some time in the future.
There was also an older character had a brief crush on a character she later found out was her mum, but that one never had any chance to go anywhere on account of her mum was already into her boss/commanding officer. Come to think of it, the amount of times that other characters have wound up in relationships with my character's mother is slightly disturbing. I guess I have hot mums