Indra and Shachi
In the Bhavishya Purana, the gods were losing a long war with the asuras, and Indra was in despair. On the full Moon of Shravana his guru Brihaspati prepared a thread charged with mantras, and Indra's wife Shachi tied it on his wrist. Protected by it, Indra went back to battle and won. This is said to be the first raksha, and in old times it was tied by priests on kings and by wives on husbands, before it became the custom of sisters.
Lakshmi and Bali
After Vishnu as Vamana sent King Bali to the underworld, he promised, pleased by Bali's devotion, to stand guard at his palace. Lakshmi, left alone in Vaikuntha, came to Bali disguised as a woman with no family and tied a thread on his wrist, making him her brother. Bali offered her any gift, and she asked for her husband back. Bali kept his word and released Vishnu. The rakhi mantra recalls this: "With this I bind you, as the mighty Bali was bound."
Krishna and Draupadi
When Krishna cut his finger, perhaps on his discus after slaying Shishupala, Draupadi at once tore a strip from her sari to bind the wound. Krishna promised to repay her. Years later, when Dushasana tried to strip her in the Kaurava court, Krishna made her sari endless, and her honour was saved.
Yama and Yamuna
Yamuna is said to have tied a thread on her brother Yama, and he blessed her with immortality and promised that any brother who received a rakhi and protected his sister would live long.