My biggest regret is probably buying the Assassin's II Creed White Edition. It's a great game, but the White Edition was a total waste of money. I was expecting it to come in an awesome box and for the in-game extras to be actually worth it. I was wrong. The game case itself is just the same as the normal one and the extra in-game levels were pretty pointless. All you got as a reward was a bit of extra cash, and it's not like the experience of the extra levels were worth it either. They were just the same as all the other stuff in the game. The Ezio statuette is kind of cool but again, it was so not worth it.
There's also buying Fable 2. Absolutely awful waste of time and money. I don't even know why I finished the game, probably because it ended in less than half the time I expected it to. I despise that game.
But I guess some good came out of it. Assassin's Creed taught me to think about buying LCEs before just going SHINY!! I WANT!!! And Fable 2 taught not to trust Peter Molyneux.
I also had Dante's Inferno. It's not really something that stands out as a regret but it was a disappointment and a mistake.
Probably my most embarrassing game secret is not having finished OoT, despite being a big Zelda fan. But that's not such a big deal because I'm actually playing through it now, and having a bloody good time too. Well actually I've just finished the Shadow Temple, which I had been stuck on forever and got quite annoyed with.