Well, I experience this a couple of times and probably will as time goes on, although I take massive comfort from the fact that while I may from time to time experience jealousy of my friends who are married, with kids, houses, lots of things which now and again I imagine constitute "a dream" or "the dream", if particular people had been involved, most of the time I'm very happy with how I am.
Single, working steadily, putting some of what I've learned and believe to be important into practice, not too overburdened with work, trying and succeeding to strike a balance even if it is only to secure the days off which might allow me the opportunity at least to feel like I'm really living (I tend to find that now, the experience of really living life fills the spaces in between other commitments).
For most things I never did I've plenty of consolations or reasons why its not a terrible loss to me really, for instance, I never became a soldier but then there were no wars worth fighting at the time, I never reached peak physical fitness and became a facsimile of any of my action heroes like Arnie or as good a martial artist as Bruce Lee but I can improve my fitness for my age (31yrs).
I'm never going to lead any revolution or reshape the world but I'm more and more aware of the flaws in the ideologies I once thought were great and how imperfect and necessarily so the world is and will be (at least it means the revolutions of the political or cultural tendencies I oppose wont work out or happen either).
I never joined the priesthood or a religious order but I'm increasingly aware that the church which I could have been most at home in no longer exists, if it ever did, and I could meet all sorts of people unlike myself and embracing religion for all sorts of reasons which are contrary to my own if I did pursue the religious calling.
In the main I've read Eric Fromm, who thinks disillusionment is a positive thing or can be turned to positive growth and development, and another book called the age of absurdity which suggest that consumerism and potential as a philosophical idea have created a burden of expectation. Analysing my situation like that allows me to come to terms with it better.
Sometimes I get annoyed that I'll likely not read all the books I own before I die, or I'll miss other opportunities in life if I spend the time doing so, but life goes on. If you dwell on it or think about it it can become truly absurd, for instance, consider the amount of times when, because you didnt buy a ticket, you've effectively passed on the dream of winning the lottery.