Biggest video game regret:  When my SNES stopped working, I gave it up and bought a new one.  Sadly, at that point, the only new ones available were the slimmed down ugly ones.  Now I wish I had gotten the original repaired.  I cherish my (fully armed and) operational NES, so it hurts a little when I look at the new SNES.
But hey, at least I didn't break my N64 and wind up with one with glowing Pikachu cheeks.
First runner up:  I rented and beat Super Mario RPG over a weekend once, so I didn't feel the need to buy it at the time.  I wanted it later, but it stayed at $70 wherever I could find it locally until it disappeared completely.
Second runner up:  I loaned my copy of Banjo Kazooie to a coworker after I had thoroughly finished with it.  She tried to give it back one time, but since she hadn't finished it, I told her to go ahead and hold on to it until she did.  I thought she just felt bad for keeping it for so long, but then she left suddenly.  I never knew why, and I didn't even give it much thought at the time, honestly.  It sounds stranger now than it seemed then, I guess.  Anyway, I still miss that game sometimes.  I probably never would have played it again, but for some reason I can't let go of a game I own.
Honorable mention:  My Nintendo fanboyishness combined with a general lack of funds and a resultant penchant for stinginess kept me away from what might have been some fun experiences over the years.  I've overcome the first two, though I still obviously have a lot of unreasonable affection for Nintendo, but not quite the last.