I really started collecting around 1997 or '98.
I would not have passed on that box of, like, 25 Atari 5200 games for $1.
I would have asked for a DINA, the Telegames exclusive Coleco and 2600 games, and other rare titles from the Telegames catalog for the various Christmases and birthdays in the late '90s and early 2000s, instead of the dirt-ass common 2600 games I got. (I also might have asked for Jaguar stuff, but that would have been a pretty hard sell since my brother had already gotten a Jaguar system and JagCD from Telegames--after all, why would we need two of them?)
I would not have traded away my SNES set which included Super Mario RPG.
I would not have put up my 286 PC (with Magnavox amber monitor ) in a rummage sale, or the games disk I that I have found literally zero information on in over 20 years (best guess: some kind of customized Friendlyware disk). It was my first computer that was just mine, all for myself. I loved it, even though--or partially because?--it was probably a decade old when I got it. I played BASICA versions of games like Battleship and Pac-Man (my favorite), and I used it to write the scripts for the comic books I was creating at the time. Loved that thing. Can't remember why I agreed to let it go.
I would have bought that Virtual Boy out of the clearance bin at KayBee for $20. (I think I bought an Aliens action figure or a Star Wars Action Fleet A-Wing or something instead, and a copy of the Savage Garden single To The Moon And Back at the record store. And I don't even have any of that stuff anymore, either.)
I would have bought that copy of Burgertime for the Aquarius I saw at Goodwill once. Loose cart, but still.
I would have kept my Tiger Extreme Chain Games Pong keychain game. That thing was actually pretty fun--I even sometimes played it when I wasn't in a car or school bus or orthodontist waiting room!--and they seem tough to come by these days.
I would also have kept my R-Zone. Just for the lulz.
I would not have sold/traded/lost my copy of Star Wars: The Arcade Game for the 2600 that bizarrely and frustratingly wouldn't fit in my Atari system because it was for Coleco. *facepalm*
Other than that, there's probably not too much else I could have done differently. I was in junior high and had little control of my own destiny at that point. Besides, I'm pretty happy with the way my collecting career has gone. Yeah, maybe I made some mistakes, but I also got in while the getting was good...like, really good. If I had to purchase today all the stuff I got between 1998-2005, I'd easily be spending at least triple the money.