Paul said in Romans 9:2 that he had "great sorrow and unceasing anguish" in his heart for his fellow Jews who were far from God. This brought about in Paul such love that he was willing to give up everything for them - even his own salvation!
I think one reason I don't have great sorrow and unceasing anguish in my heart like I should for those around me who are far from God is I want to be comfortable. I want to go through my day feeling good, not feeling unsettled or upset. Yet how can we go through our days as if nothing is wrong when people all around us are facing a Christ-less eternity? Oh, God forgive me! Forgive us!