"Grand Theft Auto IV" is the one video game that's actually managed to make me feel like a bad person.
It all started with this mission where you need to set up a date with a gay guy on the Internet, then kill him once you meet up.
After I chased him down in the streets and shot him dead I felt horrible. There's just something screwed up about killing someone under the guise of romance. I have no problem with veering onto the sidewalk just to hit a pedestrian or blocking off the road so I can launch a rocket at a traffic jam. But that one got to me.
Later on there are a couple missions in where you get the choice of killing one guy or the other - both people you've had a lot of contact with. In one of them I knew who i wanted to kill but his death mission was too tough (he's a rich guy protected by a lot of thugs, and after you off them you need to chase him along the rooftops) so I gave up after a couple of tries and killed the other dude easily, rambling into his ghetto apartment, wiping out a crackhead, and then capping my former friend as he cowers.
This game hangs guilt trips over your head better than any game I've ever played. Had no problem killing the little girls in Bioshock, until I found out that doing so made you get a bad ending. But this game haunts me.