There are a lot of good answers here - I especially like @YDK's point about "taking a bullet" for someone really close to you, and not just anybody. I want to expand on this, because I feel this will cut to the heart of what @Seeker is asking.

I think behind the questions of racism/nepotism/ethnocentrism, @Seeker has noticed a particular thing about Jews that I don't believe exists among other nations or religions. An American multinational employer will typically not feel any inclination to give a job to a fellow American over a Briton, just because they share nationality. On a religious level, from what I've heard, a Baptist will typically not think to discharge his obligation to pray by going to a nearby Anglican church. Muslim current affairs is all about (often bloody) power struggles between Shiites, Sunnis, Wahhabis etc.

But with Jews it is different. For all our tendency to bicker and fight among ourselves, we nonetheless have an overarching philosophy such that if any ten Jews get together on a street corner, whether Hungarian chassidim, Yemenites, Lithuanian charedim, Moroccans, Persians, Religious Zionists or converts from Sweden, they together will form a minyan (prayer quorum) and pray to the One G-d together; there is an automatic kinship such that one Jew will instinctively and viscerally feel a responsibility for his fellow Jew, even if they have never met before, and come from totally different cultural backgrounds. It's not just a prescribed, intellectualized duty that we're "supposed" to look out for each other - this Jewish kinship simply is, in a very real, tangible and observable way. Hence the question, which I agree cannot be applied to other religions or nationalities, because the phenomenon does not exist anywhere else to nearly the same degree as it does with Jews.

As to why this kinship exists to such a palpable degree, beyond that which could have been expected simply from having the legislation of how to deal with your fellow Jews, my speculation is as follows:

Case 1: Two strangers get on an airplane and sit next to each other. They exchange niceties, maybe some idle chit-chat during the flight, then get off at the destination and say goodbye.

Case 2: Two strangers get on an airplane and sit next to each other. Just after they take off, the flight is hijacked, and a hostage crisis ensues. Hollywood-style plot of negotiations, gunfights, dramatic rescues. Stranger 1 rescues stranger 2 from certain death. Stranger 2 tackles the main hijacker and saves the day. Days later glory turns to shock and disbelief as the hijackers sue the victims for assault and millions of dollars of damages caused. The mass media takes the side of the hijackers - as do many of the other passengers (Stockholm Syndrome). Only the two strangers are there to stick up for each other. Eventually they are exonerated and vindicated.

Now which pair of strangers is going to feel a closer bond to each other, for the rest of their lives? If the one subsequently goes broke, will the other not do everything in his power to help him find a job and get back on his feet? Will they not automatically invite each other to their respective children's weddings? Should they need anyone to tell them that "it's the right thing to do", to come and comfort him in the house of mourning?

So it is with the Jewish people: we have an enormously long shared history as a nation. From the Egyptian exile, through the First Commonwealth, through the Babylonian exile, through the Second Commonwealth, through to our current days, we have been through all the ups and downs together. It's not just about here and now. A "here-and-now" Jew, who regards his history as a matter of mere intellectual interest (or less), will not feel this connection to his fellow Jews any more than one American would feel towards another American. But any Jew who has a sense of national history and purpose, without even thinking about it understands that his fellow Jews have been through that history with him, and automatically feels a closeness that cannot and need not be legislated or otherwise imposed. Even a convert, whose genetic ancestors were not part of our history, by his very act of attaching himself to the Jewish people, earns a share in our history and is as much part of the "family" as a Jew of unbroken matrilineal descent.

So yes, we do have laws in the Torah instructing us to deal more favorably with our fellow Jews than we do with "outsiders". We need them in the same way as we have laws not to steal, murder or commit adultery; sometimes what should be a natural moral instinct malfunctions in the face of temptation, anger or distress, and you need to have a code of cold, objective law to keep you on the straight and narrow. But for the most part, looking out for each other is just a natural response to the Jewish awareness that we have been through a lot together, and we have a common purpose in this world.