Very first time playing an RPG. None of my friends had either, but I was the most motivated so got the GM chair.

We were playing Call of Cthulhu, the classic scenario The Haunting, which came in the sourcebook.At one point a character got hit by a poultergeist-ed bed, failed a dex check, and was knocked out a second story window. The dice said he lost well over his hit points on the fall. I panicked and retconned it to make him survive. I regret doing that, because it took out any threat and tension the rest of the scenario had, in what was supposed to be a horror game.

It was partially made up by that character much later activity deciding to look over his shoulder while fleeing a cultist ritual, failing a sanity check when seeing a mask of Nyarlethotep himself, and permanently losing his mind.

Admittedly I have not GMed a lot, been a player more often, but I still regret NOT killing a PC.