>>92578922The candy cotton blue haired girl was an artifically created human being (though we didn't know that at the time) and became the spiky blue-haired guy's girlfriend.
Then some super-strong eldritch evils showed up and revealed that the process used to create her let them body snatch her and taunt the heroes, along with infusing her with their powers.
Que the guy doing the shounen thing of swearing to save her and break the mind control. Which he did, and in the process beat the eldritch evil into oblivion.
The post-fight scene has them get married, but shortly afterwards she fades away, as the eldritch energy that kept her alive no longer existed. The heroes all lament this twisted turn of events, but the guy is fine with it, as they both knew what would happen to her if he did win.
He was just glad that he could save her to begin with, and that she was strong enough to last to them getting married.
Pic related.
Seriously, even if you don't like anime, Gurren Lagann is worth the watch if you enjoy solid action and giant mecha fights with just enough plot to keep it interesting. 
