You don't have to look far in this world to see people making bad choices. You see it on the news, you see it at work, and you see it happen with friends & family. Sometimes it's little things, but other times it's big things with serious consequences. If it's someone you know, you try talking to them about it. Sometimes they listen, sometimes they don't. When it's serious and they won't listen, you keep trying (sometimes for years) to help them change direction but nothing seems to work. They seem oblivious to the consequences of their actions. Or they make better choices for a while but then they fall back into the same old habits. Sometimes their actions cost them their lives. When that happens, their friends and family are devastated and they have so many questions with no answers. They wonder: "What did I fail to do for them?" "How did I let them down?" There is also anger and frustration. "Why couldn't they see what they were doing to themselves?" "How could they be so inconsiderate and selfish?" They experience a whole range of conflicting emotions, from love to sorrow to guilt to bewilderment. They try to reconcile in their minds all the irreconcilable contradictions in the person they knew and loved but then realize it's an exercise in futility. They wonder: "Where do I go from here? How do I move forward?"
I wouldn't pretend to have all the answers, but I've been in this situation before, and these are my thoughts/observations:
(1) Step back for a minute and try to see things from their perspective. Realize that they probably didn't understand their choices either. Paul wrote this about struggling with sin: "For I have the desire to do what is right, but not the ability to carry it out. For I do not do the good I want, but the evil I do not want is what I keep on doing." (Romans 7:18-19) Visualize the isolation, loneliness, and misery that results from consistently choosing things that are guaranteed to make you unhappy.
(2) Realize that you did everything you could for them and in the end they were responsible for the choices they made. (See Ezekiel chapter 18 for God's take on personal responsibility.) If you prayed for them, God heard your prayers and did everything that he could for them, but he doesn't do anything that would override their free will. He can make someone's life really hard (as he did with Jonah) until they make better choices, but the choice is still theirs. God created a world with consequences so we can learn from them and modify our behavior accordingly. Unfortunately, some people never learn despite the best efforts of everyone who tries to help them, including God.
(3) Forgive them and forgive yourself for all of your mixed feelings about them. "For all have sinned and fall short of the glory of God, and are justified by his grace as a gift, through the redemption that is in Christ Jesus, whom God put forward as a propitiation by his blood, to be received by faith." (Romans 3:23-25) Notice that it doesn't say "some have sinned a lot less than others and therefore are in much better standing with God". Sin is the great equalizer. We're all sinners, from the most devout God fearing Christian to the murderer on death row, and therefore ultimately only the Lord's blood justifies us before God. If God is willing to forgive us through the blood of his only son, surely we should be willing to forgive ourselves and others.
(4) Remember your love for them and God's love for us. "Beloved, let us love one another, for love is from God, and whoever loves has been born of God and knows God. Anyone who does not love does not know God, because God is love. In this the love of God was made manifest among us, that God sent his only Son into the world, so that we might live through him. In this is love, not that we have loved God but that he loved us and sent his Son to be the propitiation for our sins. Beloved, if God so loved us, we also ought to love one another. No one has ever seen God; if we love one another, God abides in us and his love is perfected in us." (1 John 4:7-12)