Not buying Tekken 3 for PS1 when I saw it at EB Games for a cheap price a few years ago. I've bought Tekken 5 since then, and it includes the arcade versions of the first three games, which is close enough.

I also kinda regret getting my PS2 so late (2008!), so I missed out on a lot of its big games. I've been working on my collection lately.

Finally, losing my copy of Pokemon Pearl that I had sunk hundreds upon hundreds of hours into. :^(