Lets see... some I can think of off the top of my head would be:
Silent Bomber - I played it on a demo disc before it came out and loved it. I eventually saw it in stores and didn't pick it up, Went back later and they were sold out and I've not seen it since. I'm still trying to find the game locally, but the game shops around here are slim pickins on PS1 games.
The Misadventures of Tron Bonne - I had been tracking it for awhile and I found it on Amazon years ago for much cheaper than what it goes for now, but couldn't justify, for some reason, $60 bucks (!) for it... I've since kicked myself for not buying it when I saw it. I did find Mega Man Legends 2 at GS for $15 brand new a few days later though, so that was cool.
Dragon Warrior VII - My cousin had it and I always wanted to pick it up but never did. Eventually I started looking for it and saw some of the prices on it and resigned myself to hold off on it. Granted the prices aren't as bad as some of the Castlevania games I have, but at the time I was focusing game money on new games, Saturn and Castlevania games. Eventually Soera found a sweet deal on it and picked it up for me, solving that one.
Shining Force III - When I had my original Saturn, I was only working part time and never had a lot of money. I went to my regular grocery store, that also had a pretty decent game section and I saw they had Shining Force III. I didn't have money for it so I had to pass on it. I went back after I had money and it was gone and after that I never saw it again in the wild. I guess it's a good thing too, cause I ended up selling my Saturn to an acquaintance for super cheap. If Shining Force III had been in there, it would prolly be one of my biggest collection regrets ever. When I started rebuilding my Saturn collection, I ended up finally picking it up after I completed buying back all my old games.
Jump Ultimate Stars - I bought Jump Super Stars when I imported my original Red DS and loved it. When Ultimate Stars released, I wasn't sure if I wanted to drop the money on it to import it and passed on it. Then when my buddy who had imported it sold off his DS collection and asked me if I was interested in it, I passed on it again. Now it's a lot more expensive than when I could have picked it up and I kick myself for it. Eventually, I'll find a good deal on it and pick it up though.... maybe.