Sirius and Dobby hit me the hardest. I expected Remus, Peter, and Snape to die, so those didn't impact me at all except for the part where Remus and Peter both got really lame deaths. Didn't really like any of the other characters that have died enough to care when they did, though I did feel bad for Percy and George when Fred died.
...And I felt bad for Teddy losing his parents and being another war orphan--like Harry see what she did!!--because J.K. was trying to be poignant or something.