You shouldn't regret anything, because if you do then your life becomes a series of 'if only' thoughts and you never move forward, you only look back.
See the quote in my signature. That's pretty much the way I think. You can't change what's happened. Either deal with the fact you made 'mistakes' and move on, or let them crush you and get depressed.
Personally I don't have time for people who sit and go 'if only I had done this' or 'my one regret is this blah blah'. My question is, why didn't you do it at the time, and if you hate what the outcome of the decision you DID make was, why didn't you do something about it and try to go down the path you wanted to? No room for complainers in my life.
I have no regrets. I made my decisions, and if things didn't work out I fixed them by whatever method I could. But that's just me and people have called me a cold-hearted unfeeling cow for not sitting there and going 'oh woe is me, I wish I could have done this instead of this'. Nope. I just get on with things.