The Shadow Children series by Margaret Peterson Haddix. I forgot I read these books as a preteen until I found the last 2 books the other day. I never did read the first book, I think I jumped in at book 2 or I remember liking them quite a bit.
OMG SO TRUE! *Sniffle sniffle* I was so sad for my favorite characters in books like I Am Number Four, The Hunger Games, The Series of Unfortunate Events, The Shadow Children Series, and so many others.