I once saved over my own file of Monster Rancher with someone else's saved game (they were in the room). I lost dozens of hours of work. I just couldn't go back and do it all over. Bleh.

Back when I was 8, I used a Master Ball on a Ditto, because I thought that the Transform effect was permanent.
Man I was stupid...

I regret in fallout new vegas, the fact that I was relying on auto saves and my greatest character to date was caught in an autosave glitch that had no fix DX, 40 hours of work.... GONE!

Accidentally closing Battlefield: Bad Company 2, right before the next save point... That means I needed to redo that part of the level...

I have had plenty of regrettable gaming moments, many of which were just moments where I forgot to save the game. It all started when the Playstation first came out, and you actually had to go to "Save Game" to save the game...not like the NES where all you had to do was hold down the Reset button, then turn off the power.

I'll give you an example - the very first game I got for the Playstation was Jet Moto 2. I will never forget that night I played it for like 10 straight hours ( no joke XD ) and I almost completed the game 100%. I think I was about 11 or 12 years old at the time, so when my mom found out I was still playing it at 3am, she finally told me to go to bed. I was so excited about having a Playstation that I couldn't wait to play it again the next day, so I just turned it off and went to bed...BIG mistake. I woke up the next morning to find that all my trophies, awards, unlockables, etc were all missing! The memory card it came with was in the system, but I forgot to SAVE THE GAME! As I just sat there looking at a blank awards board, I couldn't believe it. However, I did have fun playing the entire game over again, but that's just it...I had to play the whole game over again.

I have done this with plenty of games. It still happens every once in a while, but its rare. I'll never forget to save my game ever again.

Honestly the moment in gaming I regret the most and still vividly remember to this day is when I finally unlocked the third path on Sonic Adventure 2 Battle and had to skip the cut scene because my dad called me outside to mow the lawn. I realize now I should have just turned off the console so I could get back to it but I was in a frenzy since my parents seemed pretty impatient.
Although I guess I could always just look up that cut scene on youtube now...