I think I always feel bad about it. Killing beloved PC's off is the worst part of being a DM. In serious games, I try real hard not to do it unless the player has been given several oppurtunities to avert it. I'll even misplay monsters, avoid picking on injured PC's, and (secretly) fudge dice to prevent random criticals and such if the player has been playing well and just had a string of bad luck, and I try very hard in long running campaigns to avoid 'save or die' situations.
But ultimately, death has to be accepted. If the game doesn't include the risk of death, then the game loses its dramatic tension. Generally speaking, if you the player screw up its going to cost you. Fortunately, most groups I play with in long campaigns have a very high level of skill.
Now, when I'm running one shots that are simply excercises in dungeon crawling skill, I play the part of the gleeful DM who savors every death and add every character to my 'kill sheet' the way that some player's tally thier victories over monsters. Most of the groups that I do pick up sessions with are much less experienced than my long time gamer friends, and as such the death toll can really mount up in a hurry if the party loses cohesion. And its amazing to me how many supposedly long time players have no idea how to respond to and have no contingencies for things like yellow mold, green slime, creatures with DR, creatures with regeneration, loss of light source and so forth. So many younger players I've run sessions with seem to think an adventuring kit can be limited to a magical sword and a suit of armor.
But there is a very big difference between running a 'Tomb of Horrors' against a group of PC's rolled up solely for the evenings entertainment, and killing a PC that has been developed lovingly over the course of several years.