Just finished the game. Played like a Saint, so I saved all the little sisters and made no revenge killings.
The first time I showed mercy was to Gracie, who later thanked me with rewards from Mailboxes and some extra dialogue. This felt like a nice touch. 
But here comes my gripe with the game. After this I spared the other 2 guys, the guy in the train-room, and Alexander "The Great". 
 
 I do think the game noticed it, since when Eleanor talks to me about how much of an example I am to her, the faces of Alexander and that other guy flash on screen. 

But, opposite to Gracie, I didn't hear a single word from anyone about this. Did my playthrough get bugged or did they just not write these 2 characters the way they wrote Gracie?
 
P.S.  
Sofia Lamb survived my playthrough as well.

I did the same as you. 
After I spared Stanley and Alexander I never heard from them again.
 
Guess they just didn't write anything in for them which is kind of a bummer.

I was fairly annoyed when I found out there was an achievement for sparing all the Little Sisters, as well as sparing all three sub-characters. I had saved all the Little Sisters as well as Gracie and Stanley. I decided to kill Alexander the Great, due to the fact he had annoyed me more than any other character throughout the game and I felt the need to end his suffering. 
 
It does suck that Gracie was the only person to actually thank you for sparing her life, I would've liked to have heard a little more from the other support characters.

Sofia Lamb can survive? How?

I always play the good guy assuming I don't play through a second time as a dick.

" Sofia Lamb can survive? How? "

I'm still confused how letting Alexander the Great live is a good thing. Shouldn't ending his insanity and suffering be the good thing here?

" I'm still confused how letting Alexander the Great live is a good thing. Shouldn't ending his insanity and suffering be the good thing here? "

Agreed, I felt the right thing to do was to zap Gil, because his sane self was begging me to.  I actually started walking away before he played that last message, then I changed my mind.

Son of a... I killed Gil (Alexander) as I felt that was the 'good' thing to do. This was his final request as he clung to his sanity; leaving him as whatever he had become in the cold depths of Rapture, alone, seemed like it would be a bad thing. So now I've got to beat the game a third time as I missed the Savior achievement; my first play through was intended to be for good, and my second was to be bad. Guess I'll go for a speed run.
 
Also would've liked to hear about what happened to the other characters after you saved them. For all the development time and studios involved it seems there are too many holes left open.

I killed Gil as well as I thought it was the "right" thing to do.  When I saw blood curl up in the tube, I felt kind of bad, but moreso in a "lesser of two evils" kind of way.  I actually thought it was a smart gameplay decision where you actually had to make a difficult moral choice.  Turns out when I looked up the achievement I was wrong. :(

By the way, although I didn't get the Saviour achievement, I DID get the best ending with Sofia living. So... you don't need to spare Gil to get it.

" I was fairly annoyed when I found out there was an achievement for sparing all the Little Sisters, as well as sparing all three sub-characters. I had saved all the Little Sisters as well as Gracie and Stanley. I decided to kill Alexander the Great, due to the fact he had annoyed me more than any other character throughout the game and I felt the need to end his suffering.  It does suck that Gracie was the only person to actually thank you for sparing her life, I would've liked to have heard a little more from the other support characters. "

I thought that killing Alexander the Great was a good thing.

" @NynJah said:

" I'm still confused how letting Alexander the Great live is a good thing. Shouldn't ending his insanity and suffering be the good thing here? "

He might be insane, but last time I check good people don't kill the mentally insane. That being said, like you, I doubted myself thinking of the pleas of his sane counterpart. But when his insane version begged for his life I knew what the right thing to do was. "

" @gosukiller said:

" @NynJah said:

" I'm still confused how letting Alexander the Great live is a good thing. Shouldn't ending his insanity and suffering be the good thing here? "

He might be insane, but last time I check good people don't kill the mentally insane. That being said, like you, I doubted myself thinking of the pleas of his sane counterpart. But when his insane version begged for his life I knew what the right thing to do was. "

It's pretty much like the decision in the first Mass Effect, where

SPOILER WARNING: Click here to reveal hidden content.

a Paragon one is to free a squad of crazed salarians who are beyond curing and clearly a threat to themselves and everyone else, while the Renegade is to kill them to end their misery. Both choices are good and bad in some ways, and one could argue that the Paragon one is nowhere near noble.

"

I saved all the little sisters and spared Gracie and the other guy, but i killed Gil because as people mentioned, his 'sane self' asked you to kill him, and to not give into his pleas as they're not 'his' words anymore.
 
So when i realized there's an achievement for sparing all 3 people, i was kinda mad.

I saved 2 out o 3 like everyone else. I didn't even know Lamb could survive.

 I though you had to kill Alexander the great, wasn't that part of the game? the guy who spent all the cash and turned the daughter into a little sister, i killed. but it stil gave me the ending where she said i showed sympathy. I didn't think the game had more than 2 endings to be honest.

I didn't know you had a choice to save Gil either.   I mean, it wasn't like you went up to him and killed him, I just followed the prompt on-screen.   
And just like ocdog45 said, at the end of the game,  she said I showed sympathy.  I also killed Stanley, but spared Gracie.

I was being good. For gil I was about to kill him but then i thought...am I supposed to? I really wanted to, but I just left and got the achievement :) 
 
and yeah, the developers were not thorough at all.