When I got Bioshock 2, I'd heard it was possible to get a neutral ending if I killed some Little Sisters then spared others, plus some other shit. I thought Bioshock's good ending was kinda sappy, so I thought I would try getting that one instead. Boy did I make a bad choice. I ended up turning the once innocent Elanor into a sociopathic monster through my not very justifiable actions. I felt legitimately bad afterwards, since that happening was completely on me. Luckily, I was given the option of redemption by the end, with an ending that managed to be bittersweet, as well as cathartic and a very fitting ending for the story that was spun.
Also there was this time I shot a guard in MGS3 for lulz, first time I played it (others died too, but it was self-defense). He did not seem happy about that in the Sorrow boss battle, and he sure had me feeling guilty for a good while afterwards.
EDIT: Can't think of many other games where I did something "evil" that I later would regret (In fact, I think I have done more "good" things that ended up having negative consequences). I've done a lot of really morally questionable things in games like The Walking Dead, Mass Effect, Fallout 3, The Witcher and Shin Megami Tensei, but none of them were undisputed evil, they could always be argued to be both right and wrong choices.