Pretty much every single time Batman smashes through a window involves a Big Damn Hero entrance. The classic example is the scene in the 1989 Batman movie where Bats smashes through a skylight to save Vicki Vale who is being menaced by the Joker in the museum.
Batman Begins: After the Scarecrow's fear toxin has engulfed the Narrows, Gordon is the only unaffected man left on the island. The Commissioner, by radio on the outside, breaks it to him that all the reinforcements he's asking for are already on the island there with him, just as helpless as everyone else and he's on his own.
Commissioner: Gordon...there's nobody left to send in.
The Batmobile roars past him, flies over the raised bridge and to the rescue.
The Dark Knight: The Joker's thugs spring a trap on the police truck carrying Harvey Dent. Just as Dent and the cops are worried that the Joker may actually kill them all, Batman enters with the Tumbler Batmobile and evens the odds against the Joker.
The First Superman movie has one for Superman when he flies to rescue Lois Lane from the helicopter which got caught on the roof.
Subversion: In El Mariachi, the prequel to Desperado, the titular character (played by Carlos Gallardo instead of Antonio Banderas) arrives too late to prevent bad guy Moco from gunning down Domino, his love interest, in a fit of jealousy.
A classic version of this occurs in Iron Man where an Afghan village is being terrorized. Just as the head thug is about to execute an innocent villager as his wife and children scream for them to stop, everyone hears something falling out the sky....Iron Man! Who then proceeds to lay the smackdown on all the terrorists in short order.
Kung Fu Hustle. In a scene lasting about three to four minutes, there are three Big Damn Heroes moments, one from each of the Three Heroes. The first is easily the most impressive, involving a lighter being caught by a coolie in a scene that would make the aforementioned Firefly crew green with envy, and the hero facing off against something on the order of a hundred gangsters. The others are less impressive, but only by comparison, involving a gay tailor sending a man through and beating the crap out of the gangsters swarming the first man, and a donut-making baker taking on three men armed with thompson machine guns with a pair of blunt sticks meant to roll out dough. Ain't they just Three Big Damn Heroes?
Star Trek VI: The Undiscovered Country. When they beam down to the Khitomer Conference. Kirk shoves the blind president out of the assassin's line of fire. McCoy grabs the Romulan ambassador at gunpoint. Spock shouts down Admiral Cartwright after showing Valeris was found out. Scotty sneaks in behind the sniper and knocks him through a window. And Sulu and his crew beam into the exits just as Cartwright's about to book it.
In Star Trek: First Contact, the Borg are back and are slaughtering the Federation starships standing between it and Earth, including the Defiant, being commanded by Worf. The Borg lock on and begin crippling the ship...
Worf: "Perhaps today IS a good day to die. Prepare for ramming speed!"
Helsman: "Sir, there's another ship coming in...it's the Enterprise!"
Cue two torpedoes destroying the Borg cutting beam as the massive Enterprise swoops between the two ships (while the TNG theme pounds away in the background), drawing the cube's fire and suffering no damage! Picard then tops this by taking command of the fleet and ordering them to concentrate their fire on a single, non-vital spot, which opens up its secondary power relay to a direct assault from the Enterprise's quantum torpedoes. The formerly "invincible" Borg cube was destroyed within seconds.
The new Star Trek film has a great moment near the end, after Nero orders a "FIRE EVERYTHING!" at Spock's ship...and the Enterprise drops out of warp with all guns firing furiously and shoots down all of the Romulan torpedoes.
The first Pirates of the Caribbean had one of these at the very end where Jack is about to be hanged and Will saves him just in the nick of time.
The third also has one at the very end when Will, now the new captain of the Flying Dutchman, erupts from the sea to help the Black Pearl drive off the East India Trading Co.'s fleet.
Aragorn has this moment in the first film. The Ringwraith stabs Frodo, and just as he is reaching out (likely to get the Ring that Frodo still wears), Aragorn jumps in, torch and sword at hand and battles the five Ringwraiths, setting most of them on fire.
Sam when he saves Frodo from Shelob (even if he doesn't know at the time).
When the Witch-king and his fell-beast are about to kill an incapacitated King Theoden, and then Eowyn jumps in the way, hacked the beast's head off in merely a few strikes.
In Armageddon, right when everything seems lost, seeing as though the first giant drilling machine was lost, AJ shows up with the (previously thought lost) second giant drilling machine to save the day.
Lampshaded in Road to Rio, where Jerry Colonna leads a cavalry charge to save the day, to be still riding there long after everything is settled. "Exciting though, wasn't it?"
Anastasia: When it seems that Anya is about to fall into the icy river (Rasputin even says"No one can save you!"), Dimitri swoops in to save the day  by punching Rasputin in the face. Subverted in that he very quickly gets the living crap beaten out of him, though it leads to Anya's Awesome Moments.
In the Transformers Film Series, these are somewhat plentiful and frequently awesome. Film 1 has Bumblebee saving Sam from a pack of angry guard dogs, Bumblebee saving Sam & Mikaela from Barricade, Optimus saving Sam & Mikaela from corrupt government officials (though this one doesn't work out so well), and Bumblebee & Mikaela saving the soldiers from Brawl. Film 2 has Bumblebee saving Sam & his parents from the kitchen appliances brought to life by the Allspark shard, Optimus & Bumblebee saving Sam & Mikaela from the revived Megatron, Jetfire showing up in the final battle to kill Mixmaster and Scorponok, and Bumblebee saving Sam & co. from Rampage & Ravage. ...Bumblebee gets to do a lot of these, doesn't he?
The warehouse one is the best, especially if you don't see it coming. Sam is pinned down, the last several minutes have been very dark, culminating in a sadistic little bot centimeters away from cutting Sam's head open, with no apparent hope...and CRASH! Optimus busts through the ceiling, the heroic music instantly starting at full swing, immediately followed by Bumblebee making an entryway through a wall, and what was 15 seconds ago a quiet and disturbing scene is now a scene full of roaring weapons fire, shots flying everywhere, and hectic action. Oh, and Optimus kicking ass; can't forget that.
This is basically Optimus's job at NEST. While the human soldiers and smaller Autobots hit the field first, Optimus hangs out in the main NEST cargo plane. If the ground troops aren't cutting it, he's airdropped directly into the thick of things to start kicking ass.
Subverted in the short film Pyrates. Just as a pirate is about to be hanged, his captain and crew arrive to effect a daring rescue, only to find out at the end of the film that they just wanted his part of the treasure map.
In District 9 it looks like Wikus, in his Power Armor, is going to run off and abandon Christopher to certain death. Just as Chris is about to be shot, Wikus has a change of heart and charges back in, using the alien weapons to kill the soldiers in a shower of Ludicrous Gibs.
Neo shows up to save Morpheus and the Keymaker toward the end of the freeway scene in The Matrix Reloaded.
A indirect version of this trope example happens in The Matrix Revolutions. Just as the humans in Zion are about to make their last stand, the encroaching Sentinels suddenly stand down thanks to Neo, who fought his way to the Machine city to negotiate peace in exchange for him killing Smith.
Brutally subverted in Land of the Deadas the heroes rush to join the final battle against the zombie horde, it appears this will be played straight and they will arrive just in time to save the terrified people trapped between the electric fence and the zombies. They actually arrive just in time to watch as the zombies feast on the people and all they can do is give those still alive a somewhat quicker death.
Tom Cruise's return to the scene of the final aerial battle in Top Gun.
Dogma serves us up a good one. Our heroine, Bethany, is about to be beaten to death by some wicked teenage hockey-playing demons. Just as they're about to strike, Jay and Silent Bob leap into action to save the day by beating the crap out of them. "Snooch to the muthafuckin' Noooooooch!"
In Terminator 3: Rise of the Machines, after crashing a helicopter into a hanger, the T-X advances on John Connor and Kate Brewster, who are powerless to stop it. Then, an even bigger helicopter slams into the hanger, grinding the T-X into dust, and setting the hanger on fire. Guess who pops out?
Terminator: I'm back.
Played with in Anchorman: The Legend of Ron Burgundy. Ron attempts this, utterly failing ("I immediately regret this decision!"), the rest of the news team does pretty well, but it's Baxter who saves the day.
Terminator 2 has The Terminator make no less than five Big Damn Heroic entrances:
With the T-1000 chasing after John and drawing a gun, everything looks bleak... until a door busts open and in walks the Terminator, pulling a shotgun from a box of roses.
On a pithy 50cc bike and being chased down by the T-1000 in a truck, John has no idea that help is coming, until the Terminator jumps his bike off a 30-foot ledge and into the aqueduct they're driving in.
The abusive staff of the Pescadero Mental Institute thought it'd be easy doping up Sarah for the millionth time. They didn't bank on the massive shotgun-toting biker cyborg.
Sarah's trapped in a dead-end room surrounded by riot police who are shooting to kill. There's no way out of there, until the Terminator simply bashes the wall in and pulls her out.
John and Sarah are unarmed and cornered by the T-1000 with the Terminator nowhere in sight, until he appears over a steel processing conveyor with his trusty M79 grenade launcher.
In Lethal Weapon, Murtaugh is about to be killed by the Big Bad, who pauses to give his Hannibal Speech, ending with the line "There are no more heroes." At that exact moment, Riggs bursts in and dispatches him and his minions.