Well, I roleplayed Illia as one of my characters step-niece (?) and I killed her repeatedly. So ya kinda felt bad 'bout that.
Also I soultrapped the emperor on one play through and on another playthrough I casted a frenzy spell on him after he said, "I will not fight you."
I do feel bad that my favorite Roleplay character, Gorthalyn, has the Ebony Mail when he is supposed to be morally good.
EDIT: Also forgot to mention killing Paarthurnax, even my cruelest characters (I have very evil ones) would regret that.
I once had a build of an old man whose only companion was Meeko. I first ran into Meeko at level 5 and it wasn't until I was in my mid twenties that we were exploring a Dwarven ruin that Meeko got downed by a Dwarven Sphere and I accidentally shot him with an arrow mid-battle. I never reloaded my save and instead started a new character shortly after.
I think my worst act as a Skyrim player was killing Nilsine Shatter-Shield and Vittoria Vici during the Dark Brotherhood questline on my assassin character. Neither of them really did anything to warrant being killed -- for Nilsine, Muiri wanted her dead in order to hurt the Shatter-Shield family for how they treated her for Alain's crime against them, despite Nilsine being Muiri's friend; while the purpose of Vittoria's death was simply to lure the final target of the string of contracts, the Emperor, to Skyrim. Nilsine especially saddened me because of how the killing affected a family already trying to cope with the death of their other daughter at the hands of Windhelm's resident serial killer (who I took out prior to the kill).