Lesser of Two Evils

"I think her bad guys are badder than my bad guys"

—Echo (Dollhouse)

The hero is in a situation with two unpleasant alternatives and no other options are available to him. Begrudgingly, he holds to his moral code and chooses the Lesser of Two Evils.

Compare Black and Grey Morality, when those who are technically the "good guys" are the lesser evil. Contrast Morton's Fork, where both choices are equally bad.

Examples of Lesser of Two Evils include:

Anime and Manga

Last Exile: Fam, The Silver Wing: Liliana joins Luscinia and his plans after realizing that even though he is bent on conquering the world and killed her father, killing him will only makes things worse since his death will lead to a massive civil war in Ades over his position and the Exile nations will use that war to their advantage to grab power.

Fan Works

An Unsung Song: To help the Capitol or District Fourteen?
Ponies Make War: This is pretty much the justification for allying with Discord in order to defeat Titan. As Celestia puts it, they've dealt with the former before, and besides, "better the devil you know".

Literature

Roughly half the plot of The Dresden Files consists of dealing with these. In particular, "Gentleman" Johnny Marcone (a very powerful, cunning, and ruthless gangster) and Lara Raith (the de facto leader of one of the three Vampire Courts) fully qualify as evil despite both having moments of sympathy, but Harry Dresden and co. end up allied with them more often than not, if only because they're forces of stability who have no use for the wide-scale destruction many of the real villains have planned. Harry still doesn't trust either of them farther than he could throw them (which is wise, since both are certified manipulative bastards).
- In Changes, Harry becomes Mab's Winter Knight because he needs a power boost to save his daughter, and Mab is the least evil option.
A major theme of the Wheel of Time series is people having to learn to work together against a common enemy: many, if not most, of the various nations, organisations and political factions are morally questionable at best, but against an Eldritch Abomination trying to undo reality you take what allies you can get.
In Vorkosigan Saga, Prince Serg is so outrageously psychopathic that his father considers it necessary to both start an unprovoked war and then lose it deliberately just so Prince Serg and his supporters can be killed in the process.

Live-Action TV

Seven Days: Let the world be destroyed, or give the psycho the keys to the time machine?

Video Games

This is a focal point to the plot of Tales of Symphonia. The main character, Lloyd, is an idealist. His friend, Colette, must sacrifice herself in order to save her world. Must of this game's struggle involves finding a third option.
In the first two Golden Sun games, the object is to restore alchemy to the world. Though the main characters understand that this will bring war and strife back to the world, they do this out of necessity because otherwise, the world will decay.
In the second chapter of the original Age of Empires III, after Stuart Black is kidnapped, John Black, Kanyenke and Nonakhee are involved in the Seven Years' War. They have to choose between the britons and the frenchs. They choose the french side.
In StarCraft Brood War, Jim Raynor and his allies side with Kerrigan against the Earth Directorate forces poised to conquer the sector. This is a case where the good guys misjudged which evil was the lesser one.
Legacy of Kain: Raziel allows himself to be absorbed into the Reaver rather than be the Elder God's captive for the rest of eternity. He's a prisoner either way, but one of his prisons can do more good than the other.
In Metal Gear Solid 4: Guns of the Patriots, Snake tries to stop Liquid from taking over the system. He would have total control over pretty much the whole world. Given how much of a nut he's proven himself to be, the protagonists feel that at least The Patriots give the world more stability than Liquid would.

Web Original

Marc Mues: Invoked in the eponymous video series where two horrible musicians are compared to each other.

Western Animation

Transformers Prime: Siding with Megatron against Unicron.