Grima crying???

[Kalimac]

I don't think Grima was wholly evil, but I do think that he's been successfully playing two sides off of each other for so long that he's pretty much assumed that he'll always have a way out, and always be at least a bit in control, no matter what happens. In this scene he's stuck in the tower with Saruman, all of his dealings have been completely exposed in Rohan, and there's a massive Orc army swarming around on the ground. He literally has no escape, and no control. So yes, I agree with "What have I DONE?" as his primary thought. Not to say that he wasn't thinking about Eowyn. He's probably had his fair share of thoughts along the lines of "Oh, soon she'll be REALLY sorry she turned me down," but it's a completely different proposition to be looking at the army that will 99% likely destroy her in the next twenty-four hours. Even the most hardened former suitor would flinch at that, especially when it's completely out of his control now.