Yes, most certainly.
The enemies I've often felt the most guilt for killing are the grunts from Halo: Combat Evolved.
There was one particular incident where I was at the start of the level "The Captain" and had just got past the part where the grunt runs past with the flood-buddy battle form following him. One of his buddy grunts tried desperately to swat off the infection forms and a gaggle of arriving combat forms. I laid into the lot of them and then turned on the grunt. But when I hit him with the butt of my assault rifle, he cried out in this horrifying voice, "No! Please NO!!!"
Sent shivers down my spine as I realized how terrified and confused the poor critter was. Probably had spent the last few hours in the infested ship hiding and running from the Flood. And here I was whacking him over the head to finish him off.
Then there's the fact that the Grunts are slaves of the Covenant, just cannon-fodder for your guns. They don't have a choice in the matter of whether they live, fight, or die.
As fun as plowing head-first into a pack of grunts and jackals with your assault rifle is, I couldn't help but feel a little guilty for killing the poor guys.
I've also felt terrible killing the splicers from BioShock, since they're just regular people who had one too many mind-altering genetic therapies done on themselves.
And the hybrids and cyborg midwives from System Shock 2. Those are your own crew-mates you're forced to kill, all because a hive-mind worm species decided that it doesn't like Individuality and Autonomy.