Here are my two biggest regrets:
1) Dicking around in undergrad. When I transferred, I had two options: graduate on time (ie, within the usual four-year window) or graduate with a high GPA. I had to retake most courses as well as my major courses, and I ended up doing this in two and a half years. Naturally, doing a program twice as fast meant my GPA suffered. Looking at numbers, my GPA sucks.
2) Trusting my instincts. I joined here in February, studied somewhat diligently for the GMAT and scored better than I thought but a hair below my goal in July. I started some apps once they went live. However, around August or September, I had a crisis of confidence and became convinced I couldn't get in and was wasting money I didn't really have. So, most of my original schools went out the window and work stopped. Late September/early October, I started back up again, but missed most of the R1 deadlines. I made Georgetown and UCLA (sort of), but missed EA for UNC and Duke and the December Done-In-A-Day event at WFU. I wanted to know by now, but blew my chances.
Trust yourself, and treat every application as if it was the most important one. Best advice I can give.