Instead of just "games you don't own but wish you did", I'm going to do "games you saw in the store, didn't buy, but wish you did"...
Mega Man V (Game Boy) -- I remember seeing a copy of this once, ten years ago or so, in EB or Gamestop, cart only for $50. They had Mega Man IV also (cart only, $40), but I have that one... I didn't get it because of the price even though I knew it was worth it and that valuable. I should have; I haven't seen another copy of this amazing game again.
Another Game Boy game I seriously considered getting for years, never did, and haven't seen in a long time was Kingdom Crusade... simple little action/strategy game. I'll buy a copy if I ever see the cart.
Pod 2: Speed Zone (Dreamcast) -- sure, I have it now, but I wish I'd bought a copy back when I saw one cheap in 2001 or so... sure I didn't have a DC and wouldn't for years, but... it's Pod. I should have owned it anyway.
Lunar 2: Eternal Blue (PSX) -- Saw this in EB one time in like 2000 or 2001 or something, seriously thought about getting it because I love the series and knew that even though I didn't have a PSX or PS2 yet I would sometime and then I'd want to play this... but I didn't get it.

I have Lunar 1 for PSX now (and it cost a good bit), but not the second; only have the second on Sega CD. (I know the second one is better on Sega CD, but even so, I want this anyway...). If I saw it now it'd be more than I saw it for then for sure.
Oh, and when I got my PSX in early 2006 I had to decide between Persona 2 and Rhapsody... wanted to get one, but wasn't sure which. I got Persona 2 which is a great game (score-wise better than Rhapsody for sure) and sells for a lot more now than Rhapsody which is still around the $25 it was at then, but the constant grind in Persona 2 tired me out fairly fast. I'd have actually played Rhapsody more, I bet... but I don't know. I would have been nice to have both, but I couldn't afford that then.
Gradius V (PS2) -- saw this in Gamestop earlier this year for relatively cheap. Why in the world didn't I buy it immediately? Sure I didn't have that much money with me and it'd have meant buying not much else, but... it's Gradius, it's Treasure, it's amazingly good, I don't know if I'll ever see it for that price again... stupid.
Pikmin 2 -- Rented the first one and found it annoying, so with the second I waited until it got cheap... but it never did, and now it's hard to find and I wish I had it. Oh well...
For other GC games, I considered getting Cubivore once, but didn't. Haven't seen another copy of that in a long time... I also keep meaning to get Tube Sliders, but haven't yet. I will eventually...
As far as PC games go, honestly I don't know if I can think of anything offhand... um... a couple of years ago I'd have said "Not getting the Quest for Glory Anthology and Quest for Glory V", but then I found them cheap locally (the same goes for Ogre Battle 64, on the N64). There's lots of stuff I at least kind of wanted but didn't get, though. I won't try to list it all. (Arcanum, Outwars, Starsiege, Perimeter, etc, etc -- played the demos of many, but not the full games...)
... I've only played the demo of Sid Meier's Alpha Centauri, one of the best games of its kind ever... that's pretty sad.
...Buying the sadly mediocre SimCity 3000 instead of Baldur's Gate in early 1999? That's something I rectified later that year, though (by buying BG), so it doesn't really count.
One I don't think I've seen, but absolutely would if I found it, is the PC version of Enclave...