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On GOG, I paid full price for The Beast Within, a whopping £4.09. After that, waited entirely on sales. Though there are a few games on my wishlist that never seem to be on sale when I'm around so that may change.

Outside of GOG... I think Persona 5 was the last one, a preowned games store opened up near me a few years ago and I don't think I've paid full price for more than 4 games in the last 5 years. Why buy 1 game for £45 when you can get 10 - 15 during a sale. Nowadays the new games last just as long as the old ones anyway.
That'd be a better question on Steam.

Here on GOG I don't mind paying full price, because I know the games won't be buggered by obnoxious DRM or always online single player, so I have quite a few (even Ys VIII that I still haven't refunded despite paying for it in September and still not having my copy) I paid full price for here.

On Steam it's the Neptunia games, the Toukiden series, the Atelier series, the Disgaea games, Okami (though now that it's been announced for Switch I wish I had waited), the Tales series (until Bandai Namco stated using Denuvo and I quit paying for their games), Final Fantasy (from 3 through Lightning Returns as well as Type 0 and World, but not XII or XV because they use Denuvo) and some of the NIS dungeon crawlers from Stranger of Sword City to Operation Abyss/Babel to Cladun.
I paid full price for Falllout 4 on the Xbox and despite all the criticism directed towards the game, I quite enjoyed it, but I did feel cheated when all the DLC came out and it was as expensive as the base game.

I think I also paid full price for Oddworld New 'n' Tasty on the Xbox because those guys deserve all the support. Plus, the game wasn't that expensive to begin with.
As far as the games I've bought full price last year:

Nioh
Breath of the Wild
Little Nightmares
The End Is Nigh
Miitopia
Sonic Mania (Twice)
Cuphead
Super Mario Odyssey
Metroid: Samus Returns
Nier: Automata (Haven't finished it)

As far as which ones I regret getting the most, it's a tie between Little Nightmares and Miitopia.
None, I'm afraid. The last time I bought a game at full price was in 2006, when I saw Diablo 2 and its expansion at GameStop. In my uncertain post-college life, I simply can't afford to spend much on games. All of my GOG purchases have been from sales, and I try as much as possible to avoid anything more expensive than $3 or $4. Yeah, I'm really cheap.
The last game that a I pay a regular price was a CoD black ops, I noticed my mistake, after that, I tried to get always in Sales or second hand, and sometimes only paying if I know that the game is worth.
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liamphoenix: That'd be a better question on Steam.

Here on GOG I don't mind paying full price
I get what you're saying and I usually think the same way, but there's also the fact that on Steam you can immediately return the game, if you try it out and realize it was a mispurchase, and you'll get all of that money back, no questions asked. On GOG you need specific reasons, so this risk is a bit higher.
Last time I paid full price was in the 90s. There was little choice back then - few games got discounts, they just stopped selling them. A few games were re-released as "budget" (ugly boxes with often minimal documentation).
I still have them, good looking big boxed games!
Nowadays, I have a huge backlog - I see no reason to buy games at initial release. There was a while when I bought a few collector's editions, but that was before they became packaged steam downloads without even a printed manual.
The first game I paid full price for was Pong (well, my mom did anyway...I was like 6).

No way in hell I can list all the other games between then and now...so I'll skip ahead to GOG games only.

I'm gonna include things upto 15% off because I think they were all pre-orders and to me that's pretty much full price.

From most recent going back to the first game I ever bought here in 2012:

Kingdom Come Deliverance
Elex 10%
The Signal from Tolva
Sea Dogs City of Abandoned Ships
Shadwen 15%?
Firewatch 10%
Dying Light 15%
Age of Decadence 10%
The Vanishing of Ethan Carter
Divinity Original Sin
The Witcher 3 20% (would've paid full so adding it)
Thief 2 (only $10 but I paid full price when in came out in boxed form)
Legend of Grimrock

A bunch of others (mostly recent RPGs) would be on there but I backed them on kickstarter which means it wasn't the full release price.

13 gog games at near full price (spread over 6 years). I guess I'm not as stingy as I thought I was!
Just recently Figment and Ruiner, both excellent titles.
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I stand corrected. I got Neverwinter Nights for free.

I quick scan of my purchase list, in addition to showing to gifts i have to have never been used, shows i;ve yet to pay full price here.
As far as i remember (all on gog):

The Witcher 2 and 3 + expansions
Wonder Boy: The Dragon's Trap
Raiden 3 and 4
Crimson Clover
Darksiders 1 and 2
Doom 3 BFG
Metro 2033 and Last Light
Pillars of Eternity
Quake 1 2 3 and 4
Saints Row 2 and 3
Trine 1 and 2
All the Oddworld games
Dust: An Elysian Tail
Fallout 3 and New Vegas
Painkiller
Titan Quest
Van Helsing 1 and 2
Shadow Warrior 1 and 2
The Witcher 3 and Divinity Original Sin 2.

Everything else I bought on sale.