A Number of times-Most recently was with Griemo (and I've seen the episode twice or three times before in english) but I watched in Japanese and this was over a few months ago but anyway when Greimo was taken by the Orichalcos I felt bad for him because and I hadn't felt bad for him the past three or four times I've seen it..I realized he was just "used" they knew he wouldn't win but he was weak and he had nowhere else to turn to..so he resorted to Doma and it was clearly stated that only those of the Egyptian Decent could control an Egyptian God Card but he apparently didn't get the message and I figured Dartz-sama would have known that..I know Greimo-san didn't do much but I did feel bad for him when his soul was taken under the circumstance..Also when Jonouchi-kun (Joey)'s mother separated him and Shizuka-chan (Serenity) for a reason..oh and with the flashbacks on Mr.Kaiba and Mokuba's past I felt bad and when Noa controlled Mokuba and made him think his brother didn't care for him and when Jono-kun was hurt by Dark Marik and put into an unconscious state for trying to get Mai-chan back and Mai-chan's past was really sad also gah there were so many times I felt bad for a character in the anime..I could name a few more but I think I said too much already XD

Ohhh, you wouldn't feel bad for Gurimo if you read the fanfic I read. The author makes him a real pain in the ass. xD

Serenity with the whole eye surgery and recovery.

Very much

I felt terrible for Seto and Mokuba, and I always really felt sorry for Ryou he wasn't evil, but he couldn't get control.

Mai, and Kaiba

Especially, Mai, Joey and Serenity

I feel bad for the Thief King because of the Kul Elna massacre.