I voted down on a question and got a comment on it? Is there an etiquette on this matter? Or should I vote down freely? Should I expect some sort of vendetta? I couldn't help feeling a bit guilty after it, but I still disagree objectively with the answer provided...
You're not required to leave a comment, nor will you ever be. On Meta Stack Overflow (the Meta for the network, basically) this issue has been retreaded time and time again. You're encouraged to explain what's wrong with a post, but not required, and all efforts to require comments on downvotes have been struck down.
If you're going to comment, and I generally suggest you do, focus on what's wrong with the post, not the fact you downvoted. This focuses the author on what's wrong, not "hey some jerk downvoted me WTF". Generally I try and leave off the "-1" or "I downvoted this because..." when leaving a comment. Just explain what's wrong. This has the extra benefit of reducing the likelyhood that you'll get someone angry enough to revenge downvote (though some automated scripts are in place to limit the potential damage of revenge downvoting).
Whether you downvote or not, if you see something wrong, explain what it is. But what's more important than voting is the content, so think content first. At the same time, don't let that stop you from downvoting bad comment if you don't have time to explain it in a comment.
Downvoting is one of the key elements of StackExchange, it's part of the mix that makes the content so useful. If a user posts a long winded, rambling opinion (instead of a question) it quickly gets downvoted (at least it does on other StackExchange sites). This is instructive to the original poster. For one, it shows that people are serious about the quality of content on the site.
As @Ben mentions, it also grabs the OP's attention, thus giving them the opportunity to rewrite or edit the question. The optional comments are often used to discuss how the question can be improved or why it is not a good fit for the site.
Use it when you feel it is appropriate.
To prevent rampant downvoting and other nasty behavior downvoters on stack exchange forfeit some of their own reputation points.
Overall, I think the goal here should be to build a knowledge base of hiqh quality questions and answers that help the UX community. Downvoting, done thoughtfully, is one tool to help acheive that goal.
I suppose you're referring to my comment to your downvoting an answer of mine. If this is so, then you should've specified in your question that you downvoted an answer, not a question - and you would've received more suitable answers, since the two answers you got so far refer to downvoting of questions.
Downvoting of answers is a bit different from the downvoting of questions, and here's why: you can't disagree with a question, but you can disagree with an answer. A question only has one property - its quality, whereas an answer has both quality and "correctness". If you downvote a question it means that the question itself is bad and shouldn't have been asked in the first place. But answers is something you can disagree with regardless of its quality. There may be a high-quality, thorough and comprehensive answer with which you happen to disagree, and you shouldn't downvote them. Or there may be low-quality answers with which you happen to agree, but it doesn't change the fact that it's blatantly superficial or unclear or is not an answer at all. These are answers that should be downvoted. Downvoting an answer isn't an expression of whether you agree with it or not, it just means that the answer is basically noise.
BTW, this is different on Meta sites, where downvoting answers IS an expression of your agreement.