So last few dramas I've seen the guy wins both the girl and saves the "world" so to speak. Is there any drama where the guy realises he can't save both and chooses the girl and gets her heart?

For example, I'd love to see a historic drama where the guy gives up on the politics of the world and instead focuses on saving the girl even though he knows he could've saved a lot of people if he broke his and the girls heart instead.

Heh... sorry for spamming for recs, but i got a lot of free time right now so I'm running through a lot of dramas.

You could try The Painter of the Wind - I've just started it too, but as far as I saw, the male lead is trying hard to protect this girl who is his disciple (though, he doesn't know she's a girl). You could also watch Queen In Hyun's Man and Faith.
I would recommend The Princess' Man, through the drama the focus of the main character begins to shift.
Maybe Faith will also fill you requisites.
I don't think there is such a drama as that would not fit the theme of being a "hero"