[NoLongerSane]

I second Full Metal Panic. Two scenes come to mind from the first series.

Spoiler for Scenes.:

The one involving where Seina saves Andrie Kalinin from a loose beam despite that Kalinin was Seina's hostage/prisoner. When he asked why, she pretty much said she did not know. This occurs during episodes 11 & 12 of the Behemoth arc. The other scene that comes to mind is occurs during the Gauran assassination arc. Sousuke is ordered to help a team kill Gauran when it is found out that he is still alive. That plan goes down the drain when they find out that Gauran has in his hands a nuclear warhead. The scene that comes mind from that arc is when Grey and her members try to take on Gauran's new mech only to be slaughter by it one by one. She pretty much can tell that she will not make it out of that fight so she tells Sousuke to take the nuke and run while she tries to slow Gauran down.

Samurai 7 has some scenes where comrades sacrifice themselves in order for others to live.

You could also try Victory Gundam. Pretty much the female pilots from this series pays the ultimate price one way or another while protecting someone.