Even though Cassius's greatest loyalty is unquestionably to himself, he does extend loyalty to other characters during the course of the play.
At a time prior to the events of Shakespeare's Julius Caesar, Cassius was one of Caesar's generals and a loyal friend. As Caesar's power grew to near-dictatorial levels, however, Cassius developed an intense jealousy and hatred of Caesar, which was manifested in Cassius's all-consuming desire to have Caesar assassinated.
At first, Cassius sees Antony as a worthy successor to Caesar and shifts his loyalty to him. Cassius convinces Brutus to betray Caesar and put Antony in power in his place. In time, however, Cassius decides that Antony is no better than Caesar and that Antony should also be assassinated.
As the play progresses, Cassius becomes increasingly loyal to Brutus at first because Cassius believes that Brutus is the best person to help put him in a position to lead Rome and then out of respect and love.
After Caesar's assassination, and despite their personal and political differences, Cassius remains loyal to Brutus through the rest of the play, to the time of his own death in battle.
One could argue that Cassius is most loyal to himself in Shakespeare's classic play Julius Caesar. He is the leader of the conspirators who plot and execute Caesar's assassination. Cassius is depicted as a shrewd politician, who is completely selfish and conniving. Unlike Brutus, who agrees to join the conspirators in order to protect the Roman populace from Caesar's potential tyranny, Cassius views Caesar's death as a way to advance his social status and increase his political authority. Once Julius Caesar is dead, Cassius immediately begins selling political offices and taking bribes, which leads to a heated argument with Brutus before the Battle of Philippi.
One could also argue that Cassius is most loyal to Brutus. Cassius chooses to align himself with Brutus and demonstrates his love for Brutus following their heated argument. Despite being selfish and conniving, Cassius listens to Brutus's advice, even when he is wrong, and does not abandon him during the final battle.