Klaus may be overjoyed. Given his complex character, he might see this as a new beginning, a chance to create a family of his own in a way he never thought possible. He could immediately start making plans to ensure Caroline and the baby are well - cared - for.
Klaus shows his love by protecting Caroline. He would always be there to save her from any danger, whether it's from other vampires or supernatural threats.
Klaus might be overjoyed. He has always been attracted to Caroline, and having a baby with her could be the ultimate sign of their connection. He would probably be very protective, using all his power and resources to keep her and the unborn baby safe.
It could become more intense. They now have a shared responsibility, so they might be more connected. Klaus might be more tender towards Caroline, and Caroline might start to see Klaus in a different light, perhaps more as a partner rather than just an acquaintance.
To bond with her. Storytelling is a great way to create a connection between a father and a daughter, especially in their case where there are so many complex family issues and a rich family history.