When I first played Red, I had a hard time going through Mt. Moon, and thought I might have missed something to the west (in the direction that led to the Elite Four). Rather than simply backtracking, I decided to restart my file to check out the alternate route. I wasn't thrilled to discover that I couldn't make it too far along that route, even once I got a gym badge, but it wasn't a major loss. As it turned out, the ladder that I had planned on trying next in Mt. Moon was the right one (I had missed it somehow on my first playthrough), and I could have made my life several hours easier had I known, but no real harm done.
Another inconsequential, early mistake, this time in Gold: I was trying to up my link battle win record (for no particular reason) by battling against a throwaway file in Silver. I accidentally hit run on both games, though, and ended up with a tie. The worst part is that I think I might have done it twice before I noticed.
The one I regret, though it wasn't entirely my fault (I guess I was a little too gullible), was falling for a Pokemon scam in Diamond and losing a shiny Rattata without getting my desired shiny in return. I did finally find another shiny Rattata on the GTS a year or so ago, so I guess I've partially reclaimed it, but I'm still bitter, and I still loath scammers.