Zarathustra -Iranian figure who was ridiculously wise atop his mountain where he had no troubles. Selflessly, he decided to descend and share his wisdom with mankind.
Brunhilde (unfortunately Wagnerian and not straight Norse tradition)- defied her father Odin for the sake of love and had to give up being among the Valkyries and the gods, becoming a mortal woman.
Orpheus- risked damnation (being trapped in the underworld) to try and retrieve his prematurely dead wife, Eurydice.
Prometheus- gave up his esteemed position as a Titan among the Olympian gods in order to bring fire to mankind, which he fashioned from clay and loved so much.
Pleiades- daughters of Atlas who all took a vow not to be married. One however, was again defiant (or distrustful however you want to spin it) and followed her heart to marry. This is probably not a good one since the star that shines the least in the constellation of the same name represents the one that married.
Odysseus- risked life and limb to return to his kingdom and queen Penelope.
Rhea- Titaness mother of Zeus who risked her position to preserve her son from his infanticidal father, Cronus, who had already swallowed up all her other children.
Galatea- Sea Nymph who was being unsuccessfully wooed by the Cyclopes Polyphemus. Instead, she went with her heart and loved a youth named Acis. At some point Polyphemus finds the two together and chases Acis, hurling a giant boulder at him. As the boulder came down upon Acis, Galatea turned Acis into a river, sparing him a crushing death but also preventing their reunion.
Daedalus- amazing craftsman and artist who faced the wrath of king Minos by escaping his "contract". Previously only putting his skills to work for the tyrant since Minos had imprisoned him, Daedalus escaped with his son Icarus on waxen wings. Poor Icarus, though, his youthful energy took him too close to the sun, melting his wings, and sending him plummeting into the sea.
These are all the ones I can think of off the top of my head. I'll look more into it this weekend perhaps. Hope these help somewhat.
