I have pondered this question a couple of times in my life (and in retrospect I see that this question tends to pop up at turning points in life - it can be a real indicator of the direction the deeper part of us wishes to go).
Even when I was younger I had a positive attitude and a policy of 'not crying over spilt milk'. In actual fact there is nothing I would really change as everything, even all the painful parts, have led me to where I am today. And I feel so whole, so 'okay' and truly no longer feel that I "wasn't given a guide book to life when I was born'.
Funnily enough though, my mind's first answer to Zagor's question was wanting to change something in someone else's life. I wish I could go back in time and tell someone very close to me that she should just marry the love of her life (He wasn't a witness. And not to worry what everyone else thought). By the time, many years later, she finally decided to, he died shortly after - before they wed.
Hmmm. Even though my first wish was for somone else, I guess that is just as telling about what I want in my life now. I know my fear can still hold me back from following my heart. The silly thing is, I know I will go ahead and do what I need to do, I always find the courage in the end. It is more the realisation of how easy it is to waste time - waiting to find the courage (reminds me of the Dr Suess book Oh, The Places You'll Go).
The only regret is not what happened or didn't happen, what we had or didn't have - it is really just the fact that when we had wisdom, when we did 'know better' and then didn't act for such a long time. My only wish in life is not to waste time when I do know something with my whole body, heart and mind. I can live with the times I, or those around me, didn't know better.