Hm, this is hard.
The first thing that came to mind was that I'd have studied harder in college (I didn't get serious until close to my last year), but really, not studying wasn't the reason I didn't go to grad school, it was because I couldn't afford it.
The other thing I'd do over would be to get married instead of struggling to create a career. But honestly, as much as I would like to have married and had kids, I'd still choose grad school and the career I originally wanted.