In no order (orders suck):
1) Buying Syphon Filter on PSN. Oh god.
2) Getting a PSP. And then owning three good games for it. And selling one. (okay that last one isn't really a regret, I was never going to play Daxter again).
3) Losing my Gameboy Advance (I swear it's around here somewhere)
4) ummmmm
5) that's it, I guess.