I have a laundry list of regrets, but the ones that stick out in my mind most are the ones that may seem trivial. When I sold off my collection 5 years ago, I kept all my PAL games, and some other less-common items such as my multicarts. I regret selling my Asian Version, Hong Kong Version, and HKGC carts. I also regret selling my Nintendo Fun Club News set (complete, near mint). I'd say I got a pittance for them compared to what they sell for now. Granted, it's not about what I had invested in them at the time -- it wasn't much for those games, and the Fun Club stuff was from my childhood. But anytime I think about regrets, those two things stand out in my mind. Luckily, I have most of the carts back now, and 4 of the 7 issues of the Fun Club News, but still I regret selling those.
I also regret not buying a grey NWC for $1,200, a Gold NWC for $1,800 and several SE's for around $200 that I passed up many years ago. Ouch, those really hurt
-Dain