I regretted in my main character's game that the only Battle-Born to get killed by vampire attack was the one Battle-Born I actually really liked (Jon). In the same town, i also always regretted that I wasn't able to physically reunite Fralia Gray-Mane with her son, Thorald.
I also always regretted that the Companions' quest line went so fast you never get to do any real werewolf secret hunting sessions with Skjor and Aela at night.
When I read Kodlak's journal about his dream, I always felt guilty for being a vengence-seeking ass and felt at least in large part responsible for his death. At least Aela and I got to help him get to Sovngarde, so that made me okay with the whole thing.
I regret that I never actually got to head down to the meadery later with Torvar. It wasn't all bad though as I did get the unique experience of drinking with Ysgramor and Olaf One-Eye in Sovngarde
I always wanted to be able to question Ria in detail why every time she told me how she killed a bear that day, there never seemed to be any evidence of it ever having happened. Maybe if I just saw even one single bear pelt even just once, but no.......
I always regretted that my housecarls were always sworn to carry my burdens and did so honorably and without question, but I know that they were never aware before becoming my housecarl, just what "burdens" mean when you are talking about the Dragonborn.
I regret that damn giant killed my favorite cow at Lakeview, so I immediately went and ate all his mammoths.