I second the MGSV: Phantom Pain Collector's Edition. The hand replica thing is pretty damn lame, and I ended up coming away from the game with a "that was it...?" impression from the story (not unique in that regard). I did actually enjoy the vast majority of the actual gameplay I experienced, but as a long time MGS fan there was a lot of expectation on the story that just wasn't delivered at all.
I also regret getting the Dark Souls II Collector's Edition for PS3 back when it launched. Just wasn't a huge fan of the game and the statue was pretty bulky, and my lukewarm response to the game itself made it seem extremely underwhelming in retrospect. I did really like the Dark Souls III Collector's Edition (with the Red Knight statue, not the insanely priced one), though, and still have that statue displayed.
I regret getting Tom Clancy's The Division Gold Edition. I had an okay time with the base game which I played a ton of for the first three weeks, but I haven't even touched the season pass content at all, or really had any interest in revisiting the game. Standard version would've been a fine purchase in my eyes, but I sprang like $40 extra for the Gold Edition that will probably never get played again -- dumb.
No Man's Sky Collector's Edition is probably my most recent one now. Super underwhelming game.
I've sprung for other collector's/deluxe editions in the recent past that I have no regrets about. Currently have FFXV Deluxe and Persona 5's Collector's Edition on pre-order and quite looking forward to both. Going to avoid Watch Dogs 2's Gold Edition, if I like the base game I'll still spring for the season pass post-release but The Division has me really wary going the all-in route anymore on Ubi games.