The Emperor. Let's say that the guy is a complete Knight Templar and Well-Intentioned Extremist who thought that Utopia Justifies the Means. He started the greatest war of conquest in man's history and wiped out thousands of human and alien nations in order to ensure mankind's survival. He wasn't the most exemplary and comprehensive father for his sons; mind you, he was betrayed by half of them, his empire was shattered by a terrible civil war which nearly annihilated mankind, got many of his family, friends, and loyal collaborators killed, and, in the end, after being mutilated and mortally wounded by his most beloved son and having to kill him during his final confrontation with the rebels, he had to be placed in a life-support mechanism which reduced him to a living corpse, having to endure thousands of years of watching and protecting the Imperium in the psychic-Hyperspace realm which happens to be a literal hell full of cosmic horrors...Oh, and time is relative in the Warp, so yeah, may have been an everlasting experience there, you feel sorry for him.
The Thousand Sons chapter is really noticeable amongst the space marines in general. They initially were not part of the Horus Heresy and even tried to warn the Emperor when they got word of it. Cue the Space Wolves charging in and trying to exterminate them due to the high number of psykers and mutations which was determined illegal. They fled to the Eye of Terror due and, ironically, become part of the thing they were fighting. As a last ditched effort to save themselves, Ahriman casted a spell that accidentally wipes the bodies of his brethren, forcing them to a mindless existence as Animated Armor. Space marines are universal in their Jerk AssKnight Templary, but you really gotta feel sorry for these guys.
Konrad Curze, the Night Lords Primarch. Curze was dropped on a planet of endless night, ruled by criminals through force and fear. He survived in the sewers eating vermin and, occasionally, people. He went mad as a defence against what he saw and wanted to do the right thing but how can you do that on a world where everyone is an evil bastard who just solves their problems with violence and intimidation? And then later after bringing Nostromo to heel, it decays into a lawless hellhole worse than it ever was in his absence and the only justification for his actions falls apart, sending him over the deep end. Add in the premonitions that haunted him throughout his life, and he never stood a chance. Curze was a monster, but he was never given a chance to be anything else. He lived a life without love or hope and in the end he let an assassin kill him.
Humanity in the GrimDarkness of the far future in general arguably fits. Their empire is overall xenophobic, repressive, stagnant, and warmongering, but the average person is rather ignorant, lives a stale life devoted to working to advance the Imperium's military in some way, lest they attract the attention of their superiors, is being constantly kept in the dark from their own government until it's too late for them to do anything about it, their government doesn't recognize them as individuals due to the gigantic size of the Imperium and its ObstructiveBureaucrats, and is, by all means, a plaything to the Imperium's High Lords of Terra. And the government's actions are arguably justifiable because everything else really can kill all human beings if they don't devote all their effort into their military and keeping it that way.
And then there are the remnants of the Eldar, whose entire civilization was Mind Raped into oblivion, and now they're dying out and have to live out painfully repressed lives because an Eldritch Abomination is out to eat every one of their souls and send them to a Fate Worse Than Death for all eternity.
As of fifth edition, the Necrons robotic unlives now suck as badly as everyone else in the galaxy, having been forced into a Fate Worse Than Death after being tricked by their gods and watching their empire fall apart through no real fault of their own. They would probably be the Eldar's best friends, except they're even more xenophobic and posses the universe's largestentitlement complex. And that's not getting into destroyers...
Exalted: It's hard not to feel at least a bit sorry for Eye and Seven Despairs, who, in the First Age, found himself teamed with a group of Curse-maddened sadists and ended up Driven to Suicide. As a Deathlord, he'd be a Woobie, Destroyer of Worlds if he wasn't so easily distracted by tormenting a handful of people who look like his former Circlemates.
Werewolf: The Apocalypse has Rorg, the Incarna of the asteroid belt. He's a savage, unstable deity, but it's difficult not to pity him. His realm was destroyed by the Wyrm eons ago, and he's been in physical and psychological agony ever since.
Nightmare's Angel of Chuubo's Marvelous Wish-Granting Engine is relentlessly arrogant, selfish, rude and opinionated. On the other hand, Nightmare's Angel is also a desperately lonely teenager haunted by nightmares, cursed with forebodings of doom, and unable to express any desire for friendship without being literally physically weakened by it.