Not sure if anyone picked up on this, but the things Lelouche says at the end of the episode for the next preview says [Eclipse translation]:

"Rolo, what exactly was my relationship with you?
I always realize things in hindsight.
You weren't the brother of Lelouch vi Britannia,
but the brother of Lelouch Lamperogue
Right?"

One can say Lelouch had a change of heart when Rolo died. When Lelouch left Britannia, he threw away his title and started living in Japan as Lelouch Lamperogue, an alias everyone there had known him for. The life he treasures more between his three identities was that of Lelouch Lamperogue. So if Lelouch were to consider Rolo a brother of as a Lamperogue, he would have treasured Rolo just as much as Nunally. It's all thanks to Rolo that Lelouch is able to carry on his goal with the utmost highest priority right now - to take revenge on Charles. In comparison between Nunally and Rolo, one can say that Lelouch was creating a new world for Nunally, but now that she's dead, Lelouch is destroying the current one for Rolo - just as said before in season one (where he said he'll destroy the world and recreate it again). There's also the fact that Rolo has actually had less interaction time with Lelouch, but unlike Lelouch's top-staff, Rolo stuck with him until the end.

I don't see why some people tend to speculate that Shirley's death was much more sympathetic than Rolo's, as he had a very pitiful life in the story - he had no real family, he was raised in the Geass cult, and was born to be an assassin, all the while with his conscience and psychological condition deteriorating. Shirley, shown to be that of a passive citizen caught between the personal lives of Lelouch and Suzaku actually lived a fairly normal life, but died because she got too close to Lelouch - even though she knew he was Zero.

Also, did anyone notice this?

09:46: "Lelouch vi Britannia, the man that I most loved and feared the most".

That just shows how much of a badass Lelouch was when he was little.

My predictions on the next episode (although it will be way-off) will be that Zero's identity is revealed and that the media Diethardt will reveal that Zero has died, Gino will take opposition against Britannia when he finds out more about the FLEIA warhead being used, Anya will realize that Zero is actually Lelouch and defects from Britannia, meaning both Gino and Anya will join Lelouch. Jeremiah will be forced to un-Geass people they suspect to be Geass'd, and that Charles is going to "destroy the Gods" by opening the elevator, and Suzaku will be promoted, but then quits to work with Lelouch.

Oh, and then Anya is revealed to be Lelouch's half-sister in which Marianne cheats with Charles (hence, the "everyone's a liar, brother" quote) with a German guy, so she is punished by Charles by being geass'd.