No, but one actually made me feel some anxiety over a character I had grown to like. After developing a bond in the game, that bond was threatened and the writer did a good job.
As a dev of a game now in alpha, each character has an inspiration (movies, stories, poetry, and real people) and is more than just an archetype. But, no, I don't really get attached to them per se. Without giving too much away, I do feel trepidation at events that will occur to particular character(s) and what impact that may have on players/readers. I don't want to manipulate player too much, but it's required to some extent to get across story concepts. Also, the more you can make people feel the more they will want to consume your products. It's a balancing act. I think being a Dungeon Master for 20+ years has instilled in me a separation between reality and fantasy. I do have several favorite characters though, but would not hesitate in killing or harming them if it made a story better. GRR Martin taught me that