I was a bit sad about Robb's death. I thought he would have more story, so I was quite shocked. And he wasn't a character I really cared deeply for anyway. But I was more horrified to find out what they did to his body.
I already knew Catelyn would die and be tossed in a river, what with the "woman who is a fish" prophecy, and since I didn't really care that much about her character anyway, I was just 'meh' about her death. I was more pissed off about what she did in the moments beforehand.
For me, the saddest part of the Red Wedding was when Cat killed Jinglebell. He was just a half-wit fool. She only killed him after they killed Robb anyway, so why not just make a leap for Lord Frey? Sure, he's going to die soon anyway, being super-old, but at least he's of more importance than Jinglebell. And in the time that ASOIAF is set, most people wouldn't care about people like Jinglebell - especially the Freys, who have heaps of spares anyway.