Klaus might also get angry. Angry at whoever or whatever caused Caroline to collapse. He could start plotting revenge against those he suspects are responsible while still taking care of Caroline. He may call on his vampire allies or use his own powers to try and figure out what's wrong with her.
He could be in shock at first. Standing there for a moment, not believing what he's seeing. Then, his vampire instincts would kick in and he'd start looking for any signs of what caused her to collapse, whether it's an external force or something internal like an illness.
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.
In some fanfictions, Klaus's first reaction could be one of suspicion. He has been betrayed many times in his long life. So when Caroline shows her feelings, he might think it's a trap or some sort of ploy. He would start to question her motives, but as he looks into her eyes and sees the honesty there, his suspicion slowly turns into a warm feeling of acceptance and love.
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.
Caroline could also be in awe. Maybe she has always been curious about Klaus's wolf side and now that she sees it, she is both amazed and a little bit confused. She might stand there, frozen for a moment, just taking in the sight of him in this new form.
Klaus would be very attentive to Caroline's pregnancy cravings. He'd see it as his duty to take care of her during this time. He might cook for her himself if he can, or take her to the best restaurants to get what she wants. He would be a bit overprotective too, making sure that whatever she eats is of the highest quality and safe for her and the baby. He'd also listen intently to her when she talks about her cravings, finding it endearing and a sign of the new life growing inside her.
At first, he might be shocked and a bit scared. But then, Klaus would probably become extremely possessive and overprotective. He'd use his power to surround Caroline with security. He might also be a bit more tender towards her than usual, as he realizes the importance of the new life they are about to bring into the world.
Sirius might immediately pull Harry into a tight hug. He would be very protective and try to comfort him. He might say some soothing words like 'It's all right, Harry. I'm here for you.'
Bonnie would probably be very protective. She would use her magic to ensure Caroline's safety during the pregnancy. She might also be the one to encourage Caroline to be strong and not let Klaus's absence break her. Elena, on the other hand, would be more empathetic, sharing her own experiences of heartbreak and trying to help Caroline through the emotional turmoil.
Klaus might be overjoyed. Given his feelings for Caroline, the news of a baby could be the best thing he's ever heard. He'd probably immediately start thinking about how to take care of Caroline and the child, using all his resources.
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.