At the beginning of season 5, we were shown the shocking news that, suprise, suprise: Buffy has a sister. Well Dawn is not her sister. She is much more than that. She is energy, a key that will open the doors of the all the dimensions if used in the right way, put into human form. The monks turned The Key into human form and gave it to Buffy in the form of a sister, building her and her friends and family false memories. A God, named Glory with super super powers is after The Key. If Dawn, is killed, all the walls of the dimensions will crumble and hell will reign upon earth. Sounds nice, doesnt it? And Glory really wants that Key.
Buffy's strength hardly matches Glorys; the first time she saw her, Glory kicked her ass. But Buffy knew she had to protect Dawn. Buffy found out from the monks that Dawn was the key, and told Giles but not her friends. They kept it a secret for a while, until Dawn discovered it herself with the help of Spike by breaking into Giles's private files. She tore up her room and burned her diaries, but then Buffy and her mom reassured her that she does belong here.
When Glory captures Dawn and starts to let out her blood, Buffy gave the ultimate sacrifice, she gave up her life for her sister. Now Dawn has to protect herself.