On Marco Island, Florida a group of dolphins came to the aid of a lost Dog that had fallen into a canal and couldn't get out. The dolphins made so much noise, it attracted the attention of people living nearby, who then rescued the dog. The Dog was believed to have spent 15 hours in the canal water before he was pulled out by fire personnel and reunited with his owner.
One of the people whose attention was captured by the noisy, demonstrative dolphins said, "They were really putting up a ruckus, almost beaching themselves on the sandbar over there. If it wasn't for the dolphin, I would have never seen the dog.” (Source: ABC7news) He said also if the dolphins hadn't persisted enough to get their attention, they dog would have died in the canal.
The dog had fallen over the edge of a concrete wall down into the water far enough that it had no chance of getting back up by itself. The dog was exhausted from being in the cold water for hours, and most likely suffering from hypothermia.
Dolphins have been known to sometimes help stranded or injured people as well. In 2007, a pod of dolphins formed a ring around a surfer who was injured and bleeding after being bitten by a Great White shark. The surfer survived because they prevented further bites. No one knows exactly why dolphins have intervened in such emergency situations, and helped save the lives of other species.
Suffice to say they are capable of empathy and heroic actions.