For me it depends on the celebrity, if it is a case of instant unwanted stardom then I do feel sorry for them. However if they chose the lifestyle then it is their own problem.
totally agree with Nyla. there's a price that comes with fame and fortune. you don't get to live a normal, private life but you get so much more than a regular person in their lifetime so no, i don't feel bad for them.
if they wanted so much "privacy" then why do so many of them make reality tv shows that invite the camera crew right into their daily lives? Some celebrities say they want privacy, but I really think they like the attention. There are huge stars like Julia Roberts that get much less media attention because they don't broadcast their lives and crave exposure.