I regret buying Oblivion. Not because it's a bad game -- I actually enjoy it rather much.

Rather I regret buying it because it was between that or the preorder for the Bioshock CE. I've heard that Bioshock doesn't last very long for the money, but still, I have this blank spot on my desk that is longing to be filled by Big Daddy figurine...

Other than that, not really. I almost always buy only when I have researched the game and am certain that I will enjoy it. If there's a game that I don't think I will enjoy I download it. Almost always it is the case where I stop playing said game too early for it to have been worth buying.