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What I really regret is the monorail. I was a child at the time it was in the stores and my parents could not buy it for me. I badly wanted it and I don't think anything as cool as the monorail has been made since.
I have not bought anything over £100 even when I know they will increase in price as 'you can't buy everything'. I did buy 2 expensive sets this year: one #10188 Death Star when it was £229 at Smyths earlier this year, and one #41999 for £139 from S&H which has just shipped. So I can say I haven't missed these :)
I think the new Winter Village Market #10235 set will be a good buy and one not to miss! The older Grand Carousel #10196 was amazing .. too much for me now :( .. I need a #21103 :D
I am kicking myself for passing up the early Modular Buildings. I saw them on display at my local LEGO store many years ago and thought OMFG those are cool and checked out the price and kinda talked myself out of it. I have all the available Modular Buildings and still think back on that time when they were at retail and I was talking myself out of them.
One cool thing that I saw was that my Local Stores (Bay Area) like Target and TRU (over priced I know) have been getting in retired sets slowly. I asked a worker and he said that the sets have been returned by law enforcement from the former SAP Exec. who made his own bar codes and bought LEGO sets on the cheap. I picked up a brand new MISB Slave 1 a few weeks ago for $50 at TRU on clearance. Basically Law Enforcement is finding these sets and the receipts and are returning them to the stores they were purchased at if they are still able to be sold. So once a week I am hitting up my area TRU's and Target Stores just searching for some retired goodness.
I now check the Silent Auction (if there is one) religiously before spending my brick budget at the con. Sadly nothing that interesting to me has come up since.
I kinda miss not buying LEGO Cargo trains from the mid 90's when the cool stations and trains were out and I had disposable income at the time.
You will get that Delorean! I bought the last two at my local LEGO store when they arrived and gave one to my buddy and kept one for myself as we are both huge BTTF nerds. I gave it to my buddy and he happened to find a way to get Huey Lewis to sign it. The set now sits proudly amongst his collectables with "That's the power" and Huey Lewis' autograph. The story behind it is pretty hilarious and could get me in trouble at work but oh wow... I was blown away by Huey Lewis' politeness and willingness to sign the box.
That store didn't have it, but 10179 was still knocking about for about 4-5 months as I was getting back into Lego as well. I don't think the thought of spending that much even entered into my head as a fanciful notion. It still blows my mind that you can sometimes see four-figure sums for it being described as a 'bargain'.
EDIT: £100 new,buy it now including postage. THAT'S A BARGAIN IMO
My biggest recent regret is not getting MMV for ~$80 from Amazon (gold box deal) just before it EOL'd last year.
Statue of Liberty
Missed because I was focusing primarily on licensed sets:
Nearly pulled the trigger on, then didn't, then immediately afterwards went EOL:
Taj Mahal (literally, the next day)
At least I managed to get a UCS MF (2 days before it went EOL), otherwise that would be at the top of my list...