Romans 9:2 That I have great heaviness and continual sorrow in my heart.
Paul hurt for the lost. He loved his country. He loved Israel. He wanted them to be saved. His burden for them caused him to live under a great heaviness. He felt a continual sorrow in his heart because of their lost condition. He knew that those he loved the most were going to go to Hell because of their unbelief. His heart was breaking.
We should feel this broken heart for all the lost people that are all over the world. They can not go to heaven. They can not have their sins forgiven because we do not take the gospel to them. We must get a burden to see people saved and Jesus glorified.