Two things I have regretted not doing, both military related:

One, being a dumb private (EVERY private is a dumb private) and not going for the interview for the White House Communications staff. (essentially I had a job offered to me that less than 1% of the people in my job in the military get a shot at and I turned it down out of stupidity, I didn't believe my PLT Sgt when he told me they wanted to talk to me)

Two, not going to the Special Forces Qual course.