My biggest regret is not getting Umbra, Karzahni, Lesovikk, '08 Takanuva and Icarax when I saw them on the internet. Because you couldn't get them in a store in my country, I thought the first three were fakes and the other two ... I just forgot about.
At least I got my hands on about 90% of Umbra's important parts on a garage sale earlier this year.
I also regret not completing my G1 Bionicle collection. '09 vehicles aside (which I didn't even bother to get) I'm just missing the ones above minus most of Umbra as well as Balta, Dalu, Mazeka, Raanu, Zesk, Berix and Toa Mata Nui.
Everything else I have.
And it's glorious.