I have a few.
I wish I hadn't purchased Ultimate Lightsaber Duel. I generally enjoy the playsets, but this one was a failure on almost every level.
While I do like the nice Luminara that came with it (even if she's LULS), I could do without the Wookiee Catamaran. Set ended up looking stupid, and was barely in the movie.
Looking back, I'd have purchased less Spider-Man sets. I enjoyed a good number of them, but there are some I can do without (like the one with the dock).
I got the big helicopter from the old Dino Hunters line. It's really cool, but I don't have much use for it, so I can do without it. It's so out of scale with everything else I have, but I should reiterate that it's very cool.
I don't know if I can call it regret, since the only way I could have avoided it was by being precognitive, but I do have a bunch of SW ships that later got remade better (A-Wing, B-Wing, X-Wing, Slave I, Republic Gunship, etc).
However, I look at it as it being better to regret buying something than regret not getting it. I love Cloud City, the Turbo Tank, all the Agents sets, most all the Alpha Team sets, most all the Harry Potter sets, all the Studios monster sets, and a bunch of other things that I'm happy I've purchased. I recall initially passing on the first Millennium Falcon, only to regret it later when I had to pay way more than retail to get it on eBay. And, hey, even if you don't like a set, you can still use the parts in it for other stuff.