The games I regret purchasing most are the countless non-specifics that I buy but never get around to playing. The worst thing is that I buy them when they come out because I am excited for them, not because they are on sale, so it is not like I am saving any money on them. At least I am kind of supporting the developers I suppose, but I fear I may never get around to playing the likes of The Banner Saga, Tharsis, Armello, or The Witcher III, to name a few.
I also had a SEGA Saturn growing up. Somehow its internal storage damaged and it was no longer able to save games, which isn't the end of the world, but in the Saturn's case it meant games simply wouldn't work at all. Tomb Raider, Nights, Resident Evil, Scud, and a few others were all regrettably bought with my allowance and never managed to load thanks to that. The ones that did work ended up being immediate regrets like Bug Too and Creature Shock for how dreadfully dull they were. At least it still played Virtua Fighter II, Panzer Dragoon, and World Series Baseball II right up until it finally died