lol, okay, gone a bit siscon here(though I don't have a little sister myself).

Looking for a drama where the guy is trying to protect/save/avenge his little sister :D

Thanks! :D

the only one I can think of is The Girl who Sees Scents. He is trying to become a detective in order to avenge his little sister.
Commitment
The Man From Nowhere (it isn't his sister, but still a young girl he has grown close too)
Iljimae
Kill Me, Heal Me  maybe?

Also if you want a really great brother sister relationship I suggest Panda & Hedgehog. Choi siblings are the best siblings! not so much save/protect/avenge though.
Other than The Girl who Sees Scents, all I can think is Vampire Prosecutor, which, like all crime dramas has a family background subplot. In it the main character is seeking revenge for a girl that grew up in the same orphanage as him (close enough). However, if you do watch that one, be aware that S2 ends on a cliff hanger and there is no S3. Despite this I really enjoyed that show. I wasn't too keen at first as when it first aired as vampire shows and movies had totally been run dry, but my best friend said there is basically no romantic sub plot (in S1 at least) and sometimes you just need a show like that.

You could try Kill Me, Heal Me. It's not exactly what you are looking for, but there is a very strong oppa/donsaeng theme in it.

Although it's actually the opposite of what you want (Noona Love), I Hear Your Voice is still excellent.

Other than that I can't really think of any, but I can think of some which are different relations than sister if that helps. Confession of Murder is about people avenging female relatives, although it was mothers/wives/daughters; City Hunter, Healer, Pinocchio and Miracle in Cell no 7 are about fathers; Perfect Proposal is (somewhat) about his mother; Rooftop Prince is about his wife; and Scholar Who Walks the Night is about avenging practically everyone from the first leads best friend, to his parents, to his lover, to his new lovers father that raised her and her actual father, to the second leads father, his grandfather, his best friend, his wife, the list goes on.

Hope this helps.
There is Ugly Alert, where the main guy does everything for his siblings, and he and his youngest sister are especially close.