I think the answer is yes, but doesn't have to be yes. In the games most popular with young kids, like Halo and Call of Duty, you kill enemies indiscriminately.
Now we have incredible graphical power combined with a community of gamers like myself who have grown up playing video games. And we want more realistic violence because we're adults and we can handle it. Then people buy their 9 year old's a copy of these games that us adult gamers have been craving and complain that games are too violent and tell congress to ban all violent games.
I think the best solution is to keep these games out of kids hands until they're old enough to understand that murdering 340 people in an afternoon, even for the toughest soldier, would weight pretty heavily on his conscience. I have never served in the military, but I have relatives who have. And none of them reminisce of all those good times they had killing people.
In real life, whether you're fighting nazis, communists, or terrorists, those are all actual people. They have mothers and fathers and possibly wives and children that will be greatly affected by the loss of their relative. Our men and women fight their soldiers because we are at war. There is a whole debate about whether or not the way we wage war is the best method to solve our problems, but the bottom line is all those involved are actual, living, breathing humans with a lifetime of experience that brought them to the position they are in that made them decide to put it all on the line for their cause.
If you're lucky enough to have a war veteran relative, neighbor, member of your church, or whatever, you should sit down (or have them sit down with your video game addict kid) and talk about the brutal reality of war.
In conclusion, yes, violent games have a negative effect on children. But so do violent movies and violent tv shows and violent behavior in the home. Basically, children being exposed to violent behavior in a nature that makes it seem like violence is natural, it will negatively effect them. Violence is natural and sometimes necessary, but the complexity of when violence is appropriate and the consequences of violence are too much for most children. So it's best to let them stick to Mario and Zelda games until they are either old enough to buy the games themselves or you think they are mentally mature enough for the games they want.