They have been together through a lot. When Fionna doesn't know what to say, Cake fills her in. Cake also calls Fionna "Fi." We don't really know anything about their background story. They have possibly been friends for a very long time. It is unknown if Cake is a sister to Fionna like Jake is to Finn, due to the fact Cake was raised by Ice Queen.
Obviously, they have a huge amount of sisterly love, like Finn and Jake's brotherly bond.
They may be sisters.
Fionna has unattractively fat legs, but their easy to ignore ... at least sometimes they are.
In the episode "Beautopia" a skull with Fionna's hat was seen being chewed on by a Glub-Glub
They were mentioned by the Ice King in the episode "King Worm"