Yes, Mion does love Keiichi. There have been quite a lot of hints.
The second arc, Watanagashi-hen, was dedicated to her affection for him. Or at least, it's what caused the events that followed.
Other times you see her blushing/stuttering/acting unlike herself around him.
NOTE: If you're one of those people who are desparate for pairing action, check out the Higurashi No NAku Koro Ni manga. In the anthology, Kataribanashi-hen, there's a chapter titled "Limit". Though it has a cliffhanger-ish ending, it has a load of MionXKeiichi in it. If you're a fan, it doesn't hurt to give it a look. Hope this helps! :D
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