I tend to feel at least to some extent what my characters are feeling, especially if it is an intense emotional scene. Like if it is something terrifying to them, then I am on the edge of my seat, and my heart is probably beating faster and stuff like that. Sometimes writing becomes an (usually mild) emotional roller coaster.
Oh, and I don't know if anyone else does this, but sometimes I do this weird thing where if I stay sort of in the headspace of a certain story or its universe, I'll sort of react to reality accordingly, so I'll be afraid of something that my character would be or of something that happened to them happening to me. Like after I wrote Pretty Little Bones and Broken Bird, I would occasionally find myself super paranoid about be stalked or being jumped, and I would like check under my car and stuff to make sure no one was going to jump out and attack me. And with my most recent project, I literally found myself paranoid the other night about being abducted by aliens.
It was totally ridiculous.