This subject has been well covered in the past in a broader context. This topic should be answered by just the descriptive name of the one item you could have acquired, but didn't, and wish you had.
For this thread, let's leave out long explanations. That's hard for those who are like me, and tend to write expansive answers. 
I will start the thread with a post immediately following this one.
Replies sorted oldest to newest
Golden Gate 1951 Super Chief passenger cars.
I regret not getting the MTH Repro Lionel Corp Standard Gauge Red Comet Passenger Car Set
Sunrise
Green MKT Diesels by MTH.
Fine Art Models Big Boy
Lionel "Legends" Madison Passenger cars set...and later add-ons..
John
Atlas O Master Line Lehigh Valley ALCo C-628 Diesels in the white "Snowbird" scheme.
MTH jersey central sw 1 switcher
Original 700E set with all the cars even though it was a little rough.
I regret NOT GETTING the Atlas O MP15dc powered and Dummy units. I never seen them up for sale and they were perfect with that horizontal drive and full cab interior.
2343 set with passenger cars in great condition. I hesitated and they were gone…
Pretty sure it was a mint MTH PS2 Railking Mowhawk in Great Northern Livery on eBay. 
MTH Reading and Northern dome car when they were released. I've been searching since.
Bonus Answer: Weaver Lehigh Valley Black Diamond from the Weaver warehouse sale.
The original issue 2012-13 of Lionel American Flyer PRR 2-8-8-2 Steam Locomotive,
3rd Rail's N&W 4-8-0.
It appeared on one of the train auction sites a couple of years ago. During the auction I kept getting outbid, and eventually hit my max price. I decided I didn't want to pay more, and let it go. In retrospect, I wish I had kept bidding as I have not seen one on sale since.
Nov 2022 Local Train Show - Gray Lionel 1688E No tender in Excellent Original (Not a repaint) Condition - $25 went back 15 minutes and it was gone - Well Duh!
Struggled back in 2018 to choose between an MTH LED-lit CP Holiday Train with cars or the more generic Christmas LED-lit setup. I picked the latter and while still very nice, the CP is worth so much more.
Earlier this year there was for sale here a handsome MTH PRR lightweight dining car with a full interior treatment - table cloths, dinnerware, lit candles, etc. and people. I have the MTH full set and should have bought it but procrastinated...
The Lionel PRR AA Centipedes (I believe they were VisionLine). 
MTH GP-40s in Rocky Mountaineer with matching passenger cars when they came out new. Doubled in value and hard to find. Plus I have made two trips on the real one since their last release by MTH. Would love to own a set eventually.
None, but I regret trading away a particular locomotive, but won't say what it is because that's outside this topic.
Vision Line GG1. Had no idea in 2017 that $1299.99 was a bargain price.
Bob
The 15" Santa Fe Midnight Chief set. Sigh........
The 3-rail version of the GGD RPO add-on car for the El Capitan as part of the initial offering.
MTH 614T Greenbrier and auxiliary tank.
MTH Gulf Mobile & Ohio hopper 30-75395. Was available in my local hobby shop for a year/plus. The day I decided to buy it I was informed it had sold two day's before
How does that go...He who hesitates...???
3rd Rail N&W 4-8-0
For reasons that were beyond my control, it was a set of the Atlas N&W GP9 freight units.
The Prosperity Special MTH/Ives set from Justrains at York a few years ago. Only $800.00. They are selling on Ebay for over $3000.00.
Scott Smith
MTH Mail Pouch reefer offered by Pats a few years ago. I snoozed and lost.
Pete
Lionel? trackmobile
More of the MTH 64ft. Woodsided passenger cars. Particularly the CNJ cars. I model the Rutland and the green is fairly close. They were reasonably priced till Lionel got a hold of them and you never see them up for sale on the secondary market.
3rd Rail N&W Jawn Henry Steam Turbine
One afternoon I picked up an Allegheny and just didn’t bring home a Frisco Will Rogers Northern too. Haunted me, and I hunted for years,..and finally, NIB for hundreds less than new….got lucky, and lesson cemented.
Every loco or car I really wanted and got outbid on by a dollar. Budgets can be heck.
I'll cheat, as there is not, not can there be, just "one" that I regret not buying.
BUT - on that very short list, perhaps the top spot is the MTH Unshrouded N&W 4-8-4 J. For a while a few years ago they the prices were not too bad, but I have too much.
3rd Rail SP Mountain Mt4 with Daylight decor on cab and tender (bought the all black version instead).
GGD's B&O Columbian (O3R) passenger train.
At the OP's request, I'll stifle the story.
My bad...'Geraldine' was right!
KD
MTH NYC Premier Brown and Tan Pass set 5 car at York. Super price Saw/held walked away, turned around - gone !
A Lionel Legacy Controller set and an MTH TIU with remote (or two). What good do the trains do me without the controllers?
John
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