I am no stranger to feeling deeply connected with various character creations. Whether on television series or in a book, when there is an emotionally tragic event in the life of someone you've invested time following, there comes a certain level of heartache. To me, this is one of the signs of amazing writing and facilitating of a good story arc. If you can invoke tears or anger in a reader or viewer, you're doing your job!
I'm interested in seeing what characters you've felt this kind of connection with, why, and what kind of emotion did it spark in you?