You have picked an excellent story to study! This short story asks us the haunting question about when it is best to show tenderness or judgement to someone who has gone off the straight and narrow. Of course, any question that asks which character you feel most sympathy for is going to receive many different answers, depending on the person giving the answer, so you might want to move this to the discussion post section of this group.
However, for me, I think the character that I feel most sympathy for is actually Ivan Markovitch, Sasha's uncle. He throughout the story argues for Sasha's side, because he believes in Sasha and also thinks that he is just acting as a normal young man. However, after being the reason why the family saves Sasha from imprisonment, he is forced to face his folly as he sees Sasha once again fall into the same temptations as he fell into before. Notice how Ivan Markovitch responds to Sasha's demand for money:
Petrified, muttering something incoherent in his horror, Ivan Markovitch took a hundred-ruble note out of his pocketbook and gave it to Sasha.
At the end, the uncle has no choice but to give in to his nephew's demands, for he has already shown him too much lenience. The story shows that sometimes it is better to be cruel than to be kind.
It is, perhaps, easiest to sympathize with Ivan Markovitch, Sasha's uncle. Ivan is "kind-hearted" and, at the family meeting, urges the other members to remember that youth has its "rights and peculiar temptations." By this, he means that youth is a time in which people make mistakes because they lack the awareness and responsibility of adults. He is, therefore, imploring the family to go easy on Sasha and to help him out in his time in need.
In the end, it is Ivan who gives Sasha the money to pay back his debt. Sasha, however, has no intention of using the money for such purposes; he plans to attend an upcoming party with his friends. Ivan, therefore, has been tricked by his nephew and it is for this reason that he deserves the reader's sympathy.