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I feel sorry for all the Primarchs in different ways. Even for most of the ones the seemingly voluntarily chose Chaos, it wasn't as cut and dry as that.

All except for the Emperor. He actually got what was coming to him, as he had to be both the smartest and the stupidest human in the fledgling Imperium. I don't dare who you are and how gifted you are, but you have to know that treating your "sons" like an absentee and uncaring father is going to backfire immensely when you are dealing with the forces that are arrayed against the humans.

 Omegus wrote:
Argel Tal was an impediment to the Great Work, why would they bring him back?

Chaos works in mysterious ways
And because Chaos undivided? Lots of minor chaos powers may have different plans, and just to piss erebus off why not?

Let's see... Based on what I know so far:

Horus - I liked him as a loyalist and as a traitor, but not in between. I thought his fall wasn't written cleverly enough.
Leman Russ - What always bugged me about him was that he seemed so much smarter (and less of an donkey-cave) than the rest of his Legion, but just chose to go along with how they wanted him to be.
Ferrus Manus - Not a huge fan of Mr. Metalfingers, but I felt sorry for him nonetheless.
Fulgrim - I might have felt sorry for him at the start, but recently he's gone full-douchebag.
Vulkan - He's practically a fairy tale. I feel bad for his Legion whenever they get page-time though.
Rogal Dorn - I empathized with his disappointment. Destroying the grandeur of the Imperial Palace and being forced to wait out the majority of the war isn't what I would have wanted either.
Roboute Guilliman - No.
Magnus the Red - Every part of his story got me right in the feels.
Sanguinius - Of course.
Lion El'Jonson - Of all the primarchs he was one of the most bland. Even more so than Vulkan or Khan who barely exist at all. Not much sympathy there.
Perturabo - Originally I didn't like Perturabo, but seeing the other sides of him in Angel Exterminatus reallly brought me around. It would have been grand to see what he and Magnus could have built in peace-time.
Mortarion - I like him because he's so sinister. Not much sympathy though - I doubt he would want any anyway.
Lorgar - I pitied him for feeling abandoned. Definitely thought the Emperor dropped the ball there. Later on he was kinda a wacko though.
Jaghatai Khan - I'm sure I will when he finally makes an appearance.
Konrad Curze - Felt sorry for him for sure.
Angron - Surprisingly yes. Nobody deserves to be locked inside their own mind and tormented like that.
Corax - Never really identified with him.
Alpharius Omegon - I like his character(s) and I sympathize with what they were trying to do, but never really felt sorry for them. They knew full well what they were getting into.

I always want to believe Perturabo never fell to the side of Horus. He was my favorite, although it helps that the Iron Warriors are my favorite legion next to the Death Guard. The one short story which featured loyalist Iron Warriors made me really respect the IV legion. They took Imperial Fist stubbornness and siege craft expertise, and added in the cold logic that knows when it is logical to pull back. As for Perturabo himself, I liked the suppressed emotion aspect of him. Knowing he could be winning worlds for the Emperor with the best of his brothers, but being forced to perform the necessary, but dreary roll of logistics. I really wish it had been Dorn that rebelled and not Perturabo. I would have liked to see the Praetorians falter, like the Emperor's Children, while the unsung heroes rise to fight despite being all but forgotten.

In fact, I really liked the way they changed the legions loyalites in the dornian heresy. It redeemed the legions with fatal character flaws, while damning the ones who were supposed to be perfect, aside from the Emperor's Children.

But back on subject, I always pitied Perturabo the most out of the primarchs, as he never shared the same heroic tales of glory his brothers had won. To know you should be considered their peer but always looked down upon would have been soul-crushing.

Purturabo is the one I feel the most sorry for.Having the eye of terror looking straight at you while you get pictures painted of your legion that included:
Iron warrior dieing in the mud
That's it.
Being Plain ignored by everyone while his bros were pretty much worshipped couldnt have helped.

I feel sorry most for Horus he lost everything because of eberus and his lies

In what bit of fluff is the painting everyone is referencing for Purturabo (one where an Iron Warrior is seen dying in the mud)? Don't remember it at all