Not really. Though I might get attached to a family if I've been playing them through the generations, and I do always get a little twinge of sadness when I sim I've played from cradle to grave dies of old age.

Oh, but I did have a sim born ingame with TS2 that had the exact same face as Hugh Laurie. I got a bit attached to him simply because, hell, it's Hugh Laurie.

No. I've only been somewhat "sad" when I make my very first sim and they "die".