If $G=SO(n)=SO(\mathbb R^n)$ and $r\leq n$, it is easy to find a closed subgroup $H\leq G$ that is isomorphic to $SO(r)$, just let $S\subseteq\mathbb R^n$ be an $r$-dimensional subspace and let $H=\{g\in G:(\forall x\in S^\bot)g(x)=x\}$. These are the trivial examples.
If $r=2$ and $m\geq 4$ we can find nontrivial embeddings $SO(r)\to SO(n)$, for example:
$\begin{pmatrix} \cos t&-\sin t\\ \sin t&\cos t\end{pmatrix} \mapsto \begin{pmatrix} \cos(2t)&-\sin (2t)&0&0\\ \sin(2t)&\cos(2t)&0&0\\ 0&0&\cos(3t)&-\sin(3t)\\ 0&0&\sin(3t)&\cos(3t)\end{pmatrix}$
Are there examples for $r=3$ (or more)?