I have collected so many different things since before I was 10, all things at the time are generally for fun and to be totally honest I have no regret because all things I collected brought me a lot of happiness.
Of note though was the sports card craze of the early 90's, it got a lot of teens sucked in pretty hard and I was definitely one of them, I am heading over to the US in a couple of weeks time and will be taking two shoeboxes full to offload them at whatever I can get as I have no interest in them now. Yes they were touted as a great investment back then but have since bombed except for certain cards here and there.

One regret sort of non-collecting really but related, as two members have already mentioned is cars and car modifications, my biggest loss in this realm was with a Nissan 300ZX Twin Turbo, I sold over 1000 transformers in 2005 to pay for fixing the stupid engine on it thinking it was going to make it into a rocket ship, it didn't, and I continued to have problems with it until I decided to pull the entire car apart and sell it in bits and pieces early 2007. I learnt a very good lesson there as it was the last and most dramatic of my money wasting on cars.