I was Nintendo-only for certain generations and PC-only for others, and I was usually able to cover anything I missed through one-time console rentals, so it was very rare for me to feel like I was on the wrong side of the fence.
I think the biggest loss I felt was definitely Street Fighter. I was a devoted SF2 kid in the arcades and on the SNES, but sitting out the entire PlayStation line during the era that arcades died out (and not even noticing the Dreamcast until it was already dead) meant I fell off the series during the Alpha and SF3 eras, which led me to fall off traditional fighting games completely, as arcade attendance and availability were also plummeting. In retrospect I can't honestly say I was ever a serious fighting game player—just another casual button-masher caught up in the SF2 craze when it was the biggest shared social experience in games—but the principal reason that I never could have become one anyway was platform choice.
There were a few things I felt I missed in skipping the PS1, like MGS and Symphony of the Night, but their existence and prestige barely registered with me until a whole generation later, as I was so deep in the PC world in the late nineties (when "computer games" and "video games" were still very separately covered and perceived) that I wasn't paying attention to the console conversation at all. So I can't say they were titles I envied while they were current.