I have many regrets, but most of the figures I didn't buy when I was a kid now I have them. But there are some exceptions;
Water Blast Octopus from 1999 or so. I liked him very much, but when I had to choose between him and a blue and white Spiderman, I choosed the Spiderman as I liked him more and I thought there will be other opportunities to get it. I never saw it another time in toyshops, and the blue & white spiderman was there all the time... bad election.
BAF Apocalipsis. I could of buyed him for 20 $, but I haven't enough money and I thought that the auction would end very high. Mistake, it ended the same. Worst of all, I had another time my opportunity to buy him, now at 25 $, but I missed the auction. At first, simply I liked it, now, it's a must.
And there should be others, when I remember them I will post them