I agree that losing, for a time, his close relationship with Joe is the loss Pip most regrets. He feels only a passing sorrow at his sister's death, as she was never kind to him. Depending on which ending of the novel is in question, Pip is either at peace over losing Estella or poised to marry her, so he doesn't have deep regrets either way. He says he can't feel sorry over Magwitch's death, because much as he has come to appreciate the man's goodness and compassion, he knows death is the best way out of his troubles.

However, the humbled and sobered Pip comes to deeply regret his snobbery to Joe, and the way he sidestepped the relationship because he decided that as a gentleman he was too good for his blacksmith brother-in-law. He is deeply moved by Joe paying his debts. At the end of the novel, he comes to the newly married Joe and Biddy seeking forgiveness and redemption. He now fully sees Joe's goodness again. Pip says to Joe and Biddy:

"I shall never rest until I have worked for the money with which you have kept me out of prison, and have sent it to you, don’t think, dear Joe and Biddy, that if I could repay it a thousand times over, I suppose I could cancel a farthing of the debt I owe you, or that I would do so if I could!"

Pip's greatest mistake was with Joe.  Pip realizes how good Joe was to him all through his life, even when he was ashamed of Joe.  Joe cared for Pip when he needed someone to help him get his health back.  Joe even paid for all of Pip's debts.  Although Pip would pay him back, he would always regret how he treated Joe.  Joe was never educated, and never needed to be.  Pip became aloof and distant once he realized he was upper class and educated. 

Although he doesn't lose Joe's friendship, he lost the innocent and wonderful relationship they had.  He'll never quite have that back, but the two of them do keep in touch and Joe and Biddy name their child after Pip.  So it does end happily in that aspect.