[Nogitsune]

Actually, I think it's already quite something that Lelouch didn't go through with his plan of making Euphie shoot him. He thought of what she was doing as a complete destruction of his life long ambition, after all.
His reaction when she figured out he was Zero was also pretty cute...
So yes, I'd say he definitely cared for her. A lot, considering he even wrote to her after he was sent to Japan and never was one to easily let go of the past.
I also have no problems letting his feelings for her pass as something with "much potential for being considered borderline romantic", exactly because they didn't interact that much. Lelouch didn't really have the time to decide how he felt about her after all those years - their relationship had been put "on hold" for too long.

Incest... you know, actually, I'm very peculiar when it comes to that. There's just no way I'd ever be able to enjoy NunallyxLelouch, but there was a time when I thought SchneizelxLelouch was pretty weird and ClovisxLelouch even weirder (don't ask me why - I don't even think it was because of the incest).
Now... now, I think Lelouch and Schneizel can be hot together, and when it comes to Lelouch and Clovis, I just want them to interact, no matter in what way. I always love them. xD
So... yeah, tastes. I'm a sucker for platonic relationships, and I wouldn't want to have them any other way in the anime, but other than that? Bring it on. xD