My collection is pretty tiny, but even still there are a few things I regret buying.
Bleach Vol 1-2: I lost interest in Bleach after a little while, so this was money I could have spent elsewhere (and if a series has more than 15 volumes it better be mind-blowingly awesome, I just didn't feel that way about Bleach)
The Demon Ororon Vol 1: I bought this like two years ago before I had any idea they would make an omnibus with all four volumes. I ordered the omnibus, which was cheaper than buying the last 3 volumes separately, and now I guess I'll just give this lone volume away to a friend.
FLCL Vol 1: I like the anime so much I rushed out to get this, but it just fell short of my expectations.
And a round for manga I bought, lent to people, and never saw again so I may as well have not bought them at all: The Dreaming 1 and Rave Master 1.