What, like at all? Dishonored, Deus Ex: Human Revolution, Bioshock 2, Borderlands 2, and Psychonauts all have elements of it in play. Dishonored has a good portion of the plot centering on rescuing the crown princess, which is far from surprising considering that the protagonist was the bodyguard for both her and her mother, framed for the latter's death, and is acting to dethrone a usurper. Deus Ex: Human Revolution similarly hits a point mid-game where rescue becomes a major plot point, and like in Dishonored, the protagonist's job was their protection, his failure to do so beforehand was arguably his greatest failing, and the victims were kidnapped because they were instrumental to the antagonists' plot, pioneers in their scientific field.
Bioshock 2 probably provides the best example of the lot, as rescue of your daughter figure is your principle motivation for the duration of the game, but it gets turned on its head during the final act and she ends up rescuing you instead of the other way around. Borderlands 2 has you rescue two characters - one male, one female - both because of their abilities and influence. Psychonauts...well that's a game about serial kidnapping. See
in this picture? All but one of the characters in it (and two more that aren't in it) find themselves at the antagonist's mercy at some point in the game.