In the final stanza, the speaker seems to regret the choice he made, to take the road "less traveled by." The roads are, of course, metaphorical, and they represent choices made or not made. The speaker recalls the choice he made "with a sigh," implying that in retrospect, it was the wrong choice. Ostensibly, this seems to mean that the speaker regrets going his own way rather than making the popular choice.
If we look back at the three previous stanzas, however, we can see that there were really no significant differences at all between the two roads. In the second stanza, the speaker acknowledges that one road was "just as fair" as the other, and that both roads had been worn "really about the same." With this in mind, the speaker's sigh in the final stanza is perhaps not because he chose the road that he later told himself was the "less traveled by," but simply because he made an arbitrary choice that didn't work out. He tells himself that he made an informed, even noble choice to take the "less traveled" road as a way of justifying his actions and making himself feel better about a random choice that didn't work out. A wrong decision is, after all, easier to accept if we can convince ourselves that it was at least a noble decision.