My biggest mistakes are not picking up games at retail when I had a chance. Saturn House of the Dead, Panzer Dragoon Saga, Nes-Bonk, Bonk 3, Magical Chase (and others). All games that I could have gotten for $40-$60, but I wanted to wait and see if the price would go down.
I don't think it's as valuable now, but for a while Target had clearanced off Marvel VS Capcom 2 DC. I bought one, sold it on ebay for a profit, lather, rinse, repeat. I bought Target out but never kept one for myself.
I don't lose much from my collection, but it has happened on occasion. I lost the mouse cleaning tool from Mario Paint and I'm still bitter about it for example.
And as for loaners, I had one cartridge returned broken from my now brother-in-law, he made good and replaced it though. But I'm the recipient of a never returned loaner game. My Super Mario Bros. 3 was a loan from a schoolmate. I told him I'd give it back whenever he asked. Eventually we had summer break, and in the new year, he was kind of over video games I guess. Sorry Travis, I hope you don't miss it much.
OH, ONE MORE!
Paying around $70 for Yoshi's Cookie for the SNES. I was young, enjoying the paychecks from my first job, and I was impatient. Paying that much for that game altered my purchasing habits. It made sometimes wait for better deals (see above), but it also made me cave in and overspend on games that I could have waited on. "Well if I paid $70 for Yoshi's Cookie, why won't I pay $60 for this much better game?"