There was the crippled magpie who lived in our yard. She would challenge all the surrounding birds to a fight and when they flew in to take her on she would give a quite different call and out would come the dog to drive them off and protect her at considerable risk to itself. Magpies are armed with serious beaks.
Then there were the inseparable dog and cat who lived with us. He would find a mouse nest but didn't deign to sully his paws. Somehow he would persuade the dog to dig out the nest while he waited to catch the fleeing mice.
Another dog and cat would cuddle up together every night and when the cat passed away the dog was inconsolable for weeks, looking for him everywhere.
So, yes, I do think animals form across species friendships which is why I was delighted to find this link to unlikely animal friends on Jim C. Hines' blog.
And just because it evoked memories of a particular dog who dealt with vet visits by shoving her head into the neck opening of my dress - I soon learned that high-cut neck lines were mandatory - I give you this link to animals who suddenly realised they were at the vet's also via Jim C. Hines' blog.