Wow, this might sound like I'm a total bitch, but nothing really ever made me feel guilty. Although, I will say, I have never killed Paurthanax because it didn't feel right and I refused to. So I could imagine I'd feel like pl*** for killing him, so there's one.
But I guess I don't put too much thought into it, like with the Dark Brotherhood. As lovely Astrid always likes to say, something along the lines of this, "When I tell you to kill, you kill. No remorse, no thinking, blah blah blah." So maybe I took that a little too seriously.... lol
As far as all the stealing and stuff, nah.
But the one thing that got me when I first started playing was the little kids that are abandoned (like the two little girls in Whiterun and Windhelm) that go around begging and selling flowers. That's pretty damn sad, but then I got over it after a few seconds.
So I'm not sure, but for some reason, the ending to Red Dead Redemption really got me and I was so PISSED OFF. Maybe because it shows him interacting with the characters during the main story line, and all of the characters are so developed and you see their expressions and stuff, like Seth, Irish and Mr. West Dickens, plus some of the stuff is just like... damn... Where as in Skyrim you all just stand there talking. No expressions, just standing, breathing, and moving your arms once in a while. Who knows, but that could be my only guess as to why.
EDIT: Out of all the things in Skyrim, I did forget the animals. Animals do get me. If I see a lost horse, I feel bad. If I see a stray dog, I feel bad. So I guess I fell bad for the animals of Skyrim.