Regarding elements of the game that were once available but are now gone.
I still hate that I gave up at “Master Sergeant” back in vanilla BGs. So, now I’m stuck with it. If I’d have known I’d have definitely gone for at least “Knight”. I know they’re technically still available, but not to a random BGer like me, lol.
Oh, and Warlord’s Deathwheel.
I’m pretty sure most people will regret not getting at least something. Let’s hear yours.
bg titles.
set effects.
emblem of triumph.
class quests.
and many many more.
Several Mage Tower Appearances - Namely; Holy Paladin, (all) Warlock, Survival Hunter and (all) Priest skins.
Challenge Mode: Mists of Pandaria armour
The Chosen title
Field Medic title
WPvP before Warlords of Draenor
Regret not keeping the pre wotlk event armour you could buy .
Field Medic for me too, although it wasn’t entirely my fault. I was going to go and get it, but my computer broke for about 6-8 months around the time it was announced that First Aid was getting removed. 
The SoO heirlooms, Darkspear Revolutionary title and MoP Legendary cloak too. That one is entirely on me though, I just got bored towards the end of the expac and stopped playing.
I regret not getting more Mage Tower appearances.
I got the ones with the alts that could reasonably do it, like this character who has since been abandoned for a new and improved Kul’tiran… But I wish I got the Paladin flail. It’s the only one in the game to my knowledge.
I’m a BFA baby so i missed all the sweet mage tower stuff, it breaks my heart thinking about it 
MoP Challenge mode sets.
From what I hear, maybe it was a mistake to quit before MoP, I’ll never know for sure though.
Other than that, in wotlk I dedicated enough time to the game to have been able to pursue stuff like Undying, Immortal and Champion of Ulduar, but never did. The bragging rights would be nice nowadays. Oh well.
Not really, used to be super serious about collecting and achievements but then one day I looked at them and noticed I don’t remember getting 99% of them anyways. Haven’t really cared since then and now just play the game at the moment and for fun.
I got the frost weapon on my mage that I played a lot and my current main the DH
But I regret quite bad that I didn’t bother to get the mage tower challenge on my rogue that been my main from Classic up to WoD.
I regreted rerolling Hunter in early TBC i should have started with a hunter like my friends said it would be the easiest class but i was stubbern and wanting to be Aragon from lord of the ring and rolled a warrior big misstake.
I regreted alot that i never got to do the Rhok’delar quest line on my hunter or in Legion that i never did the druid mage tower challange for the bear amd the glowing cat form.
I regreted alot of things from classic to wrath that i never got to experiance sure i played in classic mainly a warrior i did the warwind axe quest line, i experiance open world pvp, tanking and other wonderful things but my biggest regret as i said was that i started teh game as a warrior and i should have gone with the hunter.
This for me as well. I got some mail pieces left from “of the undead slaying” set because one of my alts i haven’t played for long time is still wearing them. I used to have them for all classes at the time when they were available on that event but because i have vendored them when getting new items and transmog came in much later i cannot transmog all the set pieces on different classes. That really grinds my gears! There is also some other things i had and vendored away before transmogging was the thing and that is the reason why even today i am reclutant to sell anything and my bank is clogged on weird stuff gathered over 14 years i am afraid to sell.
Playing more than just my mage in MoP.
Wish I put more time into DK and Warrior.
Don’t get me wrong I loved my mage, I just wish I had the same memories on my alts too.
MoP challenge modes, those mounts are my favourite in the game and I never did get them.
The MoP pre launch event.
I don’t even know what it was but I missed it by about 2 weeks.
Tier and not having to AP farm
I regret not playing EU servers from the beginning and not NA servers with my SWG guild. All my cool stuff like mounts, titles, transmog and achievements are now on the US account without being able to merge or move them to EU.
Sad times… ;(
I wyped at 0.3% the night before mage tower was closed. Didn’t know back then that it was my last chance to get it. Won’t ever have illidan’s argus warglaives.
ZG rep. @ Honoured forever now 
I regret not preparing to open one of the last Ahn’Qiraj gates and get the Scarab Lord title and mount, during Wrath of the Lich King. But I was just 16 years old back then and didn’t have any IRL money to transfer to that server, also I didn’t have much time to do the Brood of Nozdurmu reputation farm before transferring- so I would still never have had the mount or title even if I tried. But I still regret not doing it earlier so that I eventually had received them.