In the past, I have often felt bad for the Grunts and the Elites through Halo: CE to 3. We know their sad stories; Grunts were by all rights, enslaved and pretty much the Jackals punching bags when it came to abuse. Elites were literally misguided and lied to. They lost thousands of brothers to a genocidal war they shouldn't have been a part of. The Elites were always about honor and respecting their enemy...and yet how often we saw them slaughtering civilians by the masses. Those are not honorable actions, killing those who can not fight back would most likely be considered disgraceful and intolerable among Sangheili kind, whether they be friend or foe. Or, you know, a defective mercenary Elite faction.
Hunters I always found cool and kinda felt bad for killing them.
Brutes? Pfftt, never felt bad for those jerks. Arrogant and ignorant is a bad combo, but the Brutes have both. (Seriously, even with proof given by the 'Holy Oracle' itself that the Halos were nothing more than massive killing machines, Tartarus and his Brutes chose to believe that everyone was lying to them. There's being naive and then there's being stupid. Don't even get me started on Decimus or Atriox in HW2.)
Jackals? Never felt bad for them for several reasons, but one glaring one comes to mind: Sniper Alley.
Engineers (even though they're not TECHNICALLY Covenant)? Always felt bad for them, found them oddly adorable. In a weird...bubble gum snot and feathery kind of way...