I remember watching an anime about a special ops soldier who is assigned to be the bodyguard of a high school student. He is also socially inept in that he interprets almost anything as a threat to her. I believe it has two seasons, the first season of which is actual plot, and the second season is episodic, comical episodes.
To formalize what has been stated in the comments:
The anime series in question is Full Metal Panic, based on the light novel series. Mech-specialist Sgt. Sagara Souske is tasked to protect Kaname Chidori when she is targeted by a terrorist organization. He is a skilled fighter, but fails to react normally in most social situations.
It features 3 seasons (as of 2014):
Full Metal Panic - the first season is very plot driven.
Full Metal Panic? Fummoffu - the second season takes a more comedic approach, with many of the episodes being broken into 2 half-episodes.
Full Metal Panic: The Second Raid - the third season is much like the first, with more of a plot focus (13-episodes).