As a player my only regret is that I did not get to play more often, and with a DM who was into running a game.
As a DM, the list is longer:
I regret forgetting to give my players a key piece of information and in a later session getting annoyed with them for really screwing things up and making it much harder to DM (had I given them all they needed things would have turned out much better).
I regret not sticking to my guns about character creation for my new Midnight group. I told them I wanted them to work together making characters, come up with a reason for them to be together, histories with common elements. They didn't listen, I let it go and now I have three characters who seem to be at odds with each other when it comes to doing anything.
I regret that I am going away this weekend and as a result, my older group cannot play in my Scarred Lands campaign while two players are back in town for the Holidays.
I regret setting up the climactic battle in one adventure and not properly accounting for the size of the group (8 players). It made for a less than climactic finish.
I'll finish on a positive note: I'm proud that I have made my Scarred Lands group paranoid enough to see conspiracies where none exist, at least some of them didn't until I liked what they suggested it and made it real.