Owned 30+ headphones over $100 and several fairly pricy amps and DACs. No regrets because most of that stuff was bought and sold secondhand, so no huge financial losses.

I think most of the regrets in this hobby come from people who are trapped in what they call "mid-fi hell" where they have a decent setup, but keep trying out endless numbers of headphones in the $300 to $1000 range trying to get to what's known as the "end game", or a personal perception that one has reached the absolute limit of audio performance for a certain dollar amount and they are satisfied with the sound. The reasons they are not satisfied are numerous and difficult to pinpoint. For some, they may have a bad digital to analog converter, but they might not have any experience with a good one or even believe that all converters sound the same so better ones don't exist. For others, they may be wanting a level of sound that is not achievable with whatever arbitrary financial limit they set themselves. Still others may be looking for qualities that don't exist in headphones (the ability to make Justin Bieber mp3s sound good, speaker-like spatial imaging, bass that rumbles your chair, etc.) Another problem is chasing what is known as the "hype train", where new headphones get enormous amounts of hype and anticipation before they are released. When you are on the hype train, it's easy to believe this next headphone will solve all your problems. But when it finally arrives, you realize it's just a different flavor of sound, not superior to what you already have.

Just to clarify a point for you, most people who are calling Hi-Fi a "scam" don't think headphones are a scam. Headphones obviously sound and measure differently. They think high priced electronics (digital to analog converter and amplifiers, the two types of electronics you need for a high end headphone system) are a scam in the sense that they don't provide an audible difference over cheap ones. There is a huge subjectivist/objectivist debate in audio where subjectivists think ANY kind of audio equipment sounds unique (and of course, the more money it costs the better it sounds) and objectivists think that expensive stuff sounds just the same as cheap stuff because their distortion is both under the limit of human audibility. Adding on to this problem, It's really difficult in this hobby to figure out whether electronics sound different without auditioning them, but there is no retail store to audition most of these niche products, so they just have to buy blind based on random forum reviews. So it's really difficult and frustrating to figure out if you have a "good" DAC or amp when you have only owned one your entire life, and have to choose to believe (or not) a better one is out there based entirely on forum randos. The best advice is listen and try with your own ears, do blind tests if you can, and be willing to listen without considering the price of what you are listening to.

I believe the people who have few regrets in the hobby have all followed a similar formula: buy lots of secondhand equipment and try it out so they have lots of reference points for what sounds good TO THEM. And going to meets so they have a chance to hear what truly high-end systems sound like. A minority have also been very successful with building DIY electronics at a fraction of the retail price.