Yes, they are love interests, but they're also strong foils for each other. These two characters seem to be connected to each other in some almost supernatural way. At one point, Jude gets excited just thinking about how much alike they are:
He palpitated at the thought that she fled to him in her trouble as he had fled to her in his. What counterparts they were! (3.3.39)
For his part, Phillotson says that Jude and Sue 'seem to be one person split in two!' (4.4.30)
Still, despite their strong connection, there is a major difference between Jude and Sue: Jude spends much of his time believing in many of things that society says about religion and knowledge. He believes in Christminster, while Sue stands diametrically opposed to the things that Christminster represents. They're emotionally connected, but intellectually, they share very different views:
'[F]or you are just like me at heart!'
'But not at head.' (4.1.20-1)
After the death of their children, Jude and Sue switch places spiritually speaking. They continue to be foils for one another, but they occupy the opposite sides of their earlier arguments: Sue turns towards religion and Jude swears it off. So even at the very end, they see the world very differently.
The two women who most affect Jude's life could not be more different. On one end is Arabella who, regardless of what you think about her as a person, survives by going after whatever she thinks she needs in her life. She knows exactly what she wants, and she is willing to do just about anything to get it. On the other hand, Sue seems to change her mind as to what she wants from one moment to the next, which is why she has to send so many letters contradicting things she has just said or actions she has just taken.
Even physically, they are completely different. Arabella is a woman who creates false dimples and wears fake hair to create a certain look, while Sue seems almost completely unaware of her beauty. Arabella is very physical and interested in sex, while Jude describes Sue as airy and almost non-human at times. Jude even looks at her as a near-goddess at one point:
"Then he stood with his back to the fire regarding her, and saw her almost a divinity" (3.3.53).
The opposing appearances, actions, and lives of these women are used effectively to draw an audience to Sue's side. While she can be infuriating at times, you still root for things to work out for her, as opposed to getting that sinking feeling in your stomach every time Arabella enters the story. (Just us?)