No, I don't feel bad about it, because as a well adjusted adult, I can separate reality from things that don't actually exist.
That being said, I usually do two run throughs of most RPG's, such as Mass Effect or Fallout, which have a built in morality system that effects the game depending on how you interact with the world. I play once as a good character and once as an evil character. This way, I experience a variety of game options, typically in games that have some sort of alternate endings or missions depending on the actions you take and choices you make.
I had fun doing that in the original Deus Ex
. After playing through it "normally," that is, trying to do a good job and not kill people needlessly, I did another playthrough where I pretty much slaughtered everyone at the slightest provocation, and stood by and did nothing when innocent people were in danger. It was great having Paul, Alex, and Manderley all chew my ass out for it.