I felt the Season 2 finale made that clear for the first time. There was very little Eric in that episode (which everyone was pissed off about, including me and the B/S jantar at the end) but what we got showed me that he was falling for Sookie without ever tasting her. This was the episode in which he was playing Yahtzee with the Queen, and the queen said that Bill would be in love, with her. And she then tells Eric "you probably are too".
He pauses and gets this look on his face, and then says "I do not amor humans". And the queen says "She's not entirely human". And Eric already knew that she wasn't all the way human at the point, he just didn't know what else she was.
That's when I knew that he had feelings for her beyond just curiousity and lust, and wanting her to be his. And what really caused it IMO is the rooftop scene with Godric. That scene will forever bond Eric and Sookie. She was with Eric and his maker for his most vulnerable and painful moment, and nothing can ever take that away. She shed tears for Godric, a vampire she hardly knew but that Eric loved. And Eric had gotten a little blood into her so he could definitely feel her pain. And that probably amazed him, because Sookie didn't know Godric. Eric fell for Sookie's compassion and understanding, and also her courage. Even in 2.08, I think Eric was developing feelings for Sookie but wouldn't admit it and it wasn't as obvious. But the rooftop scene with Godric was what really created these deeper feelings, and then in 2.12 we see that Eric is not as sure about not loving Sookie as he thinks. This is all just my opinion of course, but that is really when it clicked for me.
And then we see this carry over into Season 3 episode 1 and 2, when Eric is worried for Sookie and doesn't want her to go looking for Bill because she'll be in danger, and gets jealous when he sees the ring on Sookie's finger. Then he gets Alcide to watch over her and protect her without asking. So I think all this carried over from Eric showing in the Season 2 finale, even por just a look on his face and the way he was acting, that he really was starting to care about Sookie.
I think in season 2 I don't remember which episode, when Eric is willing to dia for Godric and Sookie, you can see that he's really worried for sookie's safety and then when Bill shows up sookie runs to take the silver chains off from Eric. That was before she drinks his blood, so she's genuinely interested for him.
Later on season two when he goes to see the queen and he says he doesn't amor humans, but you can see his lying.
PS: sorry for my english, it's not my native language.