Saw it New Years' night. Loved it. I think Roger Ebert summed up the relationship between Ann and Kong beautifully...
There are astonishments to behold in Peter Jackson's new "King Kong," but one sequence, relatively subdued, holds the key to the movie's success. Kong has captured Ann Darrow and carried her to his perch high on the mountain. He puts her down, not roughly, and then begins to roar, bare his teeth and pound his chest. Ann, an unemployed vaudeville acrobat, somehow instinctively knows that the gorilla is not threatening her but trying to impress her by behaving as an alpha male -- the King of the Jungle. She doesn't know how Queen Kong would respond, but she does what she can: She goes into her stage routine, doing backflips, dancing like Chaplin, juggling three stones.
Her instincts and empathy serve her well. Kong's eyes widen in curiosity, wonder and finally what may pass for delight. From then on, he thinks of himself as the girl's possessor and protector. She is like a tiny beautiful toy that he has been given for his very own, and before long, they are regarding the sunset together, both of them silenced by its majesty.
The scene is crucial because it removes the element of creepiness in the gorilla/girl relationship in the two earlier "Kongs" (1933 and 1976), creating a wordless bond that allows her to trust him. When Jack Driscoll climbs the mountain to rescue her, he finds her comfortably nestled in Kong's big palm. Ann and Kong in this movie will be threatened by dinosaurs, man-eating worms, giant bats, loathsome insects, spiders, machineguns and the Army Air Corps, and could fall to their death into chasms on Skull Island or from the Empire State Building. But Ann will be as safe as Kong can make her, and he will protect her even from her own species.
Ebert's Review of King Kong 2005