I had written a very long text about each of these artists that I missed out on, but it disappeared. So you are going to get a shorter version, without the reasons of regret. In generally I think my advice to people who don't want to have as many gig-regrets as me, would be: don't go to some gig your friends wants to go to when you really want to go and see something else (it might be more social though), if you are tired just go anyway and avoid the orange stage (I have too often been disappointed by established names here, and often the sound is bad aswell).
But also remember that you can't see everything and every year is going to leave you with regrets
Also a lot of the early regrets, is do the fact, that my taste is ever changing and back then I was more of an indie-rock/rock guy then I am now
The Ex, Ricardo Villalobos, Coldcut, Spank Rock, Animal Collective (I can't believe I went with my friends and saw that (in my POV) overlong and boring Roger Waters concert instead)
Camera Obscura, Konono N°1 or Boris (bad scheduling), Dizzee Rascal, CSS, Lee Scratch Perry (eventhough everybody said it sucked), Clipse, Bonde do Role, DJ Diplo (at least I was smart enough not to go to the Red Hot Chili Peppers gig), Beirut, Basement Jaxx, Justice
MGMT, Santogold, Robyn, Neil Young, Girl Talk, No Age or Black Mountain (I just love late-night gigs at Roskilde), Jay Reatard, Jay-Z, Dan Deacon
Röyksopp, Håkan Hellström, Amadou & Mariam, Steinski, The Very Best, Peter Doherty, Yeah Yeah Yeahs, Max Romeo
Wooden Shjips, Beach House, Prins Thomas, Lindstrøm & Christabelle, Robyn