I've got to say Saix's death made me feel terrible; he was my favorite member!
Vexen's was hard, too. I love that guy.
Xemnas as well. He didn't deserve to die.
Really, the only one I didn't feel sorry for was Axel. I admit that it was sort of tragic, but he chose to do so. Plus, it wasn't exactly like he was angel. I don't think he wanted his heart any more than the rest of them; he just expressed it more openly.