In the case of South African Graham Ansley, when his yacht ran aground, he swam his 9-year old Jack Russell terrier Rosie to safety before returning to get his wife whose safety line had snagged. (Via Gawker.)
This story reminded me of an old joke calypso song by Lord Kitchener (at least, I think it is a joke) that posed a similar question, except that he compares the merits of saving his spouse to his mother.
So based on the evidence provided by Ansley and Kitchener, the order of rescue seems to go like this:
In this sample of two, both rescuers Ansley and Kitchener are men. It would be interesting to find anecdotal evidence where the rescuers are women to see if the order changes. And how would a cat compare to a dog? And a mother compare to a father? As we always say in academia, this calls for more research.