He's obviously in love with Sansa - whether that's paternal or romantic love remains to be seen. How Sansa will deal with that also will be interesting. BTW, I was completly surprised. I thought Sansa would be the gonner in that scene.
Great episode. They really through everyone for a loop - I was honestly expecting Jamie to be the fighter.
Littlefinger's not in love with Sansa - she's just the closest he can get to Catelyn, her mother. He flat out says at the end that she's the only woman he's ever loved (which really makes me wonder what will happen when - well, those of you who've read the books can imagine the rest of that sentence...)
I've been trying to puzzle out Littlefinger's strategy for a while. Now that Lysa's dead, he's got the Vale. If he marries Sansa, he's got the North (though Bran and Rickon can still mess him up there). He was given Harrenhall. Is he planning on taking Westeros piece by piece?
It's only "paternal" in a very sick way. Here's the man himself, GRRM, summing it up:
https://www.youtube.com/watch?v=MtYhmD2TZs0
That's exactly what I got from the books. He sees her as both the daughter he may have had with Catelyn if she had married him, and a representation of teenage Catelyn that he knew as a boy, who he has the hots for. And still, he also sees her as a political pawn.
I personally think of his "love" for Catelyn as more of an obsession with something he was never able to have than genuine love for her as a person. Though I guess that's still some kind of love - the most that someone like him is capable of.