Hmm... Interesting topic! Honestly and oddly enough, when I lose in a bidding war although I feel really sad or frustrated, in the long term I tend to accept the lost pretty well. Maybe it's because when I do lose it's not coz I slept on it, didn't have time... I just reached the max I can do at that time.
The cels I do think about quite a bit are the Rurouni Kenshin ones that got sold before I started collecting. I missed two of these by a couple of months...
1) Movie cel as Saitou warns Kenshin about his new "friend". I saw this sold on ebay for I think around 500-600USD. Then I found it for sale on a personal site (after the ebay fact) for 700USD or 800?, my guess is that since it didn't sell on the personal site, it got tossed to ebay. If I was the type of collector I am now, I probably would've snapped it up without a second thought but it took quite a bit of losing before I decided my ceiling price for this character was too low. - As of this moment I still have not identified who now owns this cel and believe me, I -tried-.
2) Saitou OVA Seisouhen cel, during Kaoru's recollection of when Saitou infiltrated the Kamiya dojo. Apparently Anime-Link had a half off sale and it got sold then for a reasonable price. I don't know however what that price was.... - I have found the owner of this cel along with another but it is not viewable in public and is not for sale. Of course I tried but I'm not about to nag the person to sell to me.
3) Now this last one that I still think about is another Saitou cel (3/4 profile shot during an episode with Aoshi in the library) that got sold in anime-link for 700USD (I think, or maybe it was 800? can't remember). When I started collecting, I got a good friend interested in cel collecting too. During the time I just bought my OP glove bite cel so I gave way to my friend so she can buy this cel. Unfortunately it took too long for her to get the funds together and somebody else bought it. If I'd have known money was an issue I probably would've loaned it to her since at least if she bought it, I could still visit it.
Those are the three cels I think about to this day. I have a few more cels in mind but I've already tried to acquire them but was unsuccesful... But with those pieces, I've made my "peace" since I already gave it a good try.