The Hedge Knight is a short story by George RR Martin. It's set in his A Song of Ice and Fire world, which is simply the best fantasy I know of. Anyway, this entry is about morality, but I do need to summarise the plot first (spoiler warning, if you care).
Dunk is a poorly trained knight, but a good person. A wicked prince attacks a commoner girl because she did a puppet show that involved a dragon being slain, and the royal family's sigil is a dragon. Dunk (who is large) kicked the prince to the dirt to rescue the girl. But attacking a prince is illegal. The punishment is to lose his hand and a foot.
However, Dunk has a second option: trial by combat, in which it is supposed that the Gods will favour the righteous. Dunk goes for combat, but the prince insists on a Trial of Seven (there are seven Gods). This means a seven versus seven battle, until all the accusers or all the accused are vanquished. If either side can't get a full seven men behind their cause, they are considered wrong. (If the cause is just, why will no one fight for it?)
Minutes before the combat, Dunk is one man short. But then another prince, a good one, joins his side (against three of the royal family, and three of the royal guard, on the other side!). In the combat, two of Dunk's companions plus the kind prince are slain before Dunk forces the wicked prince to yield (Dunk does not kill him).
The kind prince was young, first in line for the throne, a good man, and would have been a good king. Dunk, to all appearances, was a nobody. What are Dunk's hand and foot worth against the life of such a great man, and two other fine knights beside? Wouldn't it have been better if Dunk had refused the Trial of Seven? And wasn't it foolish for six good men to risk their lives for Dunk's sake?
Dunk suggests that perhaps the Gods will twist fate such that in the future he will turn out more important than the prince who died for him. But I think this is unlikely and insufficient. What's important here is the moral issue: Dunk's companions weren't fighting for Dunk personally. Doing so really would have been foolish. Rather, they were fighting for the cause of justice. They were fighting for right.
What sort of world would it be where bad men hurt whoever they feel like, and maim any who would stand up to them? And how much worse if those who saw the injustice for what it was stood by and watched? The principle of the matter really is worth fighting, and dying, for.
To a good person, it should be a simple matter. No great intellectual arguments are needed. Dunk was defending the weak against the cruel. Of course his is the side of right. Of course we should throw our lot in with Dunk, take his side, and mean it. It's not a question of expedience or short-term gain. There are rival values being enacted in the world, and failing to take seriously the ones we care about is simply damning.
Besides, what good will come of standing by? What about the next time? Stand by again? And again? There's no point in delaying standing up for right. Either we should or we shouldn't. We should. (Yes, picking battles can be important, but that's just nuances.)
One major side-note is that a utilitarian would be totally blind to this analysis. He would see a prince who would have ruled justly and made the world better for many dying to help one. He would see six good men risking their lives for one. That utilitarianism cannot explain this matter (or perhaps: this issue is far less simple to a utilitarian), is a crushing criticism.
I don't think all utilitarians would be totally blind to this analysis. They might talk about useful rather than right principles, but they would include your considerations about the prospects of always yielding to oppression. And this would cause them to support opposing it for global reasons even though the local calculation might seem to discourage confrontation.
And you acknowledge that "picking battles" can be important, and then brush it aside because it's inconvenient. But it's important.
You're not saying that one should always risk everything for the smallest issue of moral principle, are you? If not, then the situation requires a calculation of some sort.
On the other hand, I agree with you that morality involves considerations beyond utility. Strict utilitarianism can lead to horrible injustices (e.g. executing innocents to avert a riot that's likely to kill more, or appeasing a "utility monster" who derives more positive utility from hurting others than the victims' negative utility...).
I especially liked this thought provoking question:
"Besides, what good will come of standing by?"
I'm short on time right now, will try to comment more when I have more time.
I suppose I was thinking of individualistic utilitarianism, where people maximise their own benefits. Under which we would expect the good Prince not to fight. Even if the world went to hell it probably wouldn't mess up his life.
The case against group utilitarianism is a bit different, and also easier. Forcing people to sacrifice themselves for the group is just bleh.