Ooooh... boy, is there a long and sad history here.
I think my first regret would be back in 2004. I had, a few days prior, acquired Vakama and Onewa. We went to my local supermarket, and there,sitting on the shelf... was a Takanuva. I bought the Toa Matau sitting next to him, so I could build the Krahli combiner. Which I did once, and then dismantled. In my defence, by best friend at the time had Takanuva, and thus we sort of shared. I also had little grasp of money at that point- My parents had used "It's too expensive" as an excuse to get me to not buy the equally-priced Jaller from a Lego store the previous year, because they'd already got him for my birthday. To me, who got £2 a week, £15 sounded like a lot. So I didn't get the "super-expensive" Takanuva then and never got him later. Takanuva in general would go on to be a White Whale for me, and I could've got Matau at a later date. And then the next year we moved away and I lost touch with the friend who had the other sets.
My next would be later that year, when I passed up Vorahk for a box of Micro Machines. I did get two Bohrok Va from that store, though.
SHortly after that, I found three of the Toa Mata at another store, Lewa, Gali, and Pohatu. They were selling for £5. At this point, I had more of an allowance (£2:50, living the high life now), and had just got some. My Dad told me I could wait and get one next week... Or I could buy the two mask packs that were there too. I bought the Mask packs. I never got a single Mata.
Then comes a long string of "That time I had the chance to buy a Bionicle set and skipped it for some other less-good toy." Like the time I passed up a shot at some of the Hordika/Visorak for knockoff Megazord. Or the time I passed up Hordika/Visorak/Nuju Metru for something else that I don't remember.
Then there was the time I was out with family, and my grandfather gave me £20 (Which is a habit of his). I, however, thought it was only £10 (I wasn't paying attention, I didn't look), and I immediately bought three impulse-buy Transformers (Megatron, Optimus Prime, Blackout). Only after getting them did I spot Toa Ignika. I did manage to get Gavla at the same time.
Related to getting Gavla, buying Chirox instead of Vamprah. While I did get Kirop later, I would much rather have Vamprah than Chirox.
Disassembling Tanma. I know he's not a fantastic set, but I really like him. However, in my efforts to give him jointed limbs, I broke all of his normal ones. And I still don't have grey ball-jointed CCBS limbs to replace them!
Going back to my inability to get Takanuva, I bought Vultraz instead of Takanuva 08. Vultraz!
Not picking up some more of the Glatorian after I found out about the cancellation. I bought some Warhammer figures instead, but they were a complete ripoff, didn't go together, and I dropped out of wargaming not long afterwards.
Not getting Skrall Stars. I know he's not a good set, but he was the last one I had to get (I finally got a Takanuva, and fortunately had built him an Inika-sized body in preparation) to complete the wave.
Not getting enough HF to make G2 MOCing viable.