There are people who say, "I don't want to live with any regrets." Personally, I think anyone who doesn't regret anything is either a major asshole or a shut-in. Everyone makes mistakes; everyone is occasionally selfish or reacts out of fear or anger. Not regretting your mistakes simply means you don't learn from them.
I think my biggest regrets have to do with not taking advantage of opportunities when they presented themselves. When I was a senior in high school, I was accepted into one of the top liberal arts colleges in the country, but I let other people bully me into staying at home and going to our local university. Now that I'm older, I realize the opportunities I would have had with a degree from a college like that, and I get very upset with myself for not going for it. I don't blame the people who discouraged me--it's totally my fault for not following my dream, because going to that college WAS my dream at the time.
I really think the decision to not go to my dream college started a domino effect in my life. I made a lot of choices that I wouldn't have otherwise because of it, many of them not all that great.
On the other hand, I'm glad that's my only major regret in life so far.