Travel o/s more when younger. For some reason I just didn't really think about doing it, then ended up having to drag three kids around the world with me years later, which was a lot of fun, but I certainly wasn't able to do the same stuff with them that I could have done without them.
Make strategic career moves based on building future potential, not short term gains.
Invest more time and effort into music practice. (I did a few pub gigs in my early 20s, then let it slip due to study/work/kids, etc.)
Take advantage of salary sacrifice into super. (Well, this one isn't a change for me, but is something I'd recommend. I did it very early on and a couple of decades later the power of concessional tax rates and compound interest has done wonders.)
Have two kids instead of three. (Did I just say that?

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Don't sell my HQ wagon.