Leaded gasoline. In my 70s-era car, I want to use it instead of unleaded, since it improves my fuel economy significantly. However, the total cost of the lead in the environment far outweighs the economic benefit. We needed regulation to fix this.

Thalidomide. Regulation prevented thousands of deformities in the US by imposing a proof-of-safety barrier before the drug was allowed to be sold. Other countries were not so lucky as to have that regulation in place.

More to the point... How, as an individual, am I supposed to make an informed judgement about the relative risks of MtGox vs Bitstamp, say? I have no inside information about how those companies operate. There's a huge information asymmetry problem that regulation alleviates.