The four guys have lots of shared interests, comic books, sci-fi, fantasy, video games. They have fun together on Halo Night and playing Klingon Boggle. We just don’t see that on screen very much. Individually:
Leonard - He is often infuriated by Sheldon, but he has genuine protection feelings for this odd creature he lives with. It stems from his mother, who is similar to Sheldon in many respects. It’s like Leonard is Alfred to Sheldon’s Bruce Wayne. Sheldon actually has Leonard’s back, too.
Raj - A very lonely person, so appreciates having any kinds of friends. I think Raj really takes joy in occasionally out-smarting Sheldon. Beating him at MarioKart, getting that huge desk in the office, etc.
Howard - Obviously the most un-friends with Sheldon. Has admitted he’s only there for Leonard. Puts up with the constant belittling for the shared interests.
Penny - She and Sheldon are like siblings. Not only does she let the insults pass by, she’s usually able to outwit Sheldon. They turn to each other for comfort and advice. She’s protective of him like Leonard is.