She knows she loves him, but she's too scared to say it.
As children, we give and receive love so very easily. As we get older, the notion of love isn't as simple anymore.
He's not making it easy on her. He's the complete gentleman, telling her he loves her and expecting nothing back because 'that's all he wanted to say.'
But love, it's something that complicates things and she's trying to deny it and even though she's a Gryffindor (bravery, courage, sure) Lily can't say it. But she wants to, she really wants to, so when she looks at him with loving eyes and a slight smile, she really hopes he gets the message.
When she was little, she said she love Petunia and her parents and the teacher and even the black-haired boy down the street. It was so simple then, but saying those three words now? It seemed life-changing. Like there was no going back.
She knew she does, though.
Lily Evans loves James Potter.
Even if she hasn't voiced it, it's still there.
For Sanch. Lots of love! :)