After a number of trips to a variety of places, I alway have regrets on not buying certain things.
I think it always boils down to regretting I didn't spend the extra money to buy quality items. For example, in Russia I bought a number of inexpensive nesting dolls, I wish I would have focused more on a single nicer quality doll. In Venice for Carnivale, I wish I wouldn't have paid so much attention to the price of my carnavale mask & bought a more intricate version. Looking back, I don't even remember the cost of objects, just that there were better quality versions available. Same for bottles of wine, etc.
My favorite souvenir though, are my photographs, which I never neglect & always end up taking too many (much to the chagrin of whomever I'm traveling with.