As far as Fry being the "hero to the rescue", the episodes that come to mind are The Day the Earth Stood Stupid, The Why of Fry, and Less Than Hero. Are there any others that you two are thinking of?
- "Fry and the Slurm Factory": Leela as the damsel in distress in a deadly (kinda) trap, with Fry the only one who can save her. Except he does not fight his enemies, but his own addiction.
- "A Bicyclops built for two": Fry's arrival was the classical "Brave knight on his noble steed rescues the fair maiden". But usually, the brave knights weapon of choice is his trusty sword...not a bunch of infuriated women he picked up on his way, and lets them do the fighting for him.
- The D'uh Vinci Code: Fry single-handedly took down a doomsday machine. (Catch: By falling into it and hurting himself, but yet...)
- 300 Big Boys. (The rescues background was quite hilarious
- Mutants are revolting: Fry arrived, single handedly ended the confrontation and gained the mutants their freedom. With an information/deed so simple that ANYONE could have looked it up, but yet, it was Fry who did so (not so much a new, hilarious twist, but a good characterisation. It showed Fry as simple, but that does not mean stupid. Like the early Carrot in the Discworld novels).
(These examples came to my mind when I once read complaints about fanfics that featured Fry as Hero and Leela as Damsel in Disteress, which was considered quite OC. I mentioned that time that the Futurama writers themselves did in fact use that plot quite a few times, but always with a new, ridiculous plot