Well, in moral choice games like Fallout where there is actually the freedom to be a bad guy... But since I rarely take the evil route, I mostly just regret failing to keep the occassional good-grunt assisting me alive, despite them being designed to be complete cannonfodder.
Granted of course that they aren't completely faceless minions.
I suppose it really comes down to whether you have a choice and how well the game maintains the illusion that the NPC are real people. For example, I agreed completely with KoTOR2's final boss's philosophy and goals, but I didn't feel bad about the inevitable killing because there was no other way to finish the game.
You don't question why you kill relentlessly in a game because it's what you're supposed to do (which is by the way one of the themes in MGS2).
On a side note, it seems like there are pretty many people saying they can't feel sympathy toward game characters because they aren't real... Which is total bull.
Empathy, or any other emotianal reaction for that matter, isn't based on logic. People can be very easily be manipulated to feel sorry for completely inanimate objects, let alone fully voiced, reasonably well written, graphically detailed virtual characters.
What I'm trying to say is; Do people just have this hard time getting immersed in their games, do they play badly written games or is our time really this great breeding ground for sociopaths?