I feel most sympathy for Ophelia. She is badly mistreated by Hamlet, and the fact that Hamlet foolishly causes the death of her father, thereby driving her mad, makes her even more the object of sympathy than she had been before. I have to say that I also feel some sympathy for Rosencrantz and Guildenstern, who get caught up in events without quite knowing what is happening to them. By the time of their deaths they are not the most appealing characters in the play, but I am not sure that they deserve to die for their actions.
I feel sympathy for Hamlet. He is an innocent character in the play. The burden of revenge is placed on Hamlet by his father's ghost. Now, Hamlet has to deal with the burden of revenge. He is troubled by his father's ghost. He must contemplate killing Claudius. It is not easy to plan someone's murder. Hamlet is young and should be enjoying his life. Now, he is encumbered with a heavy load of revenge. It is not fair. Young Hamlet is placed in a difficult position. He has suffered by losing his father and his mother to Claudius. Hamlet should not have to make such a serious decision as to murder Claudius. Yet if he doesn't, he will find difficulty living with the fact that Claudius had murdered his father, stolen his mother, and gotten by with it. Yes, I have sympathy for Hamlet.
I have sympathy for Horatio. He has faithfully attended Hamlet throughout the play, helping to fend off enemies and even cleaning up a few of his messes. At the end, his good friend dies, leaving him so desolate that he is on the verge of suicide himself. At Hamlet's request, he denies himself this solace and tarries in the cruel, lonely world to protect Hamlet's name and memory against slanders.