D.T.
I'm a firm believer in not letting my baby cry. I don't give her everything she wants either, but I definately don't let her cry.
here is a website that sort of lets you know how your baby feels when you don't respond to their tears
http://www.askdrsears.com/html/5/T051200.asp#T051205
Try to get this book
The no-cry sleep solution,
or just check out the dr. Sears website, which has all kinds of good methods on getting your kid to sleep on their own.
Good luck!!