Now this sounds very black and white but if you have a choice where you can either do or do not, always do it. What makes you feel worse after? The feeling of not doing something or the feeling of doing something bad or wrong.
It's harder said than done for certain things in certain situations because it means pushing through years of your own fears and there's probably some other risk involved.
The majority of the time you *should* go to that party, talk to that girl, hang out with friends (instead of staying in) or just do something completely off the wall at any random moment.
You don't really regret the things you do, you regret the things you chose not to do. Even if you do make a bad decision, it's likely you'll have learned something from it. You wouldn't have learned anything. If you didn't decide to do, then you'll always be wondering what if.
Now does that mean common sense and good judgment is out of the window, no. Those decisions help you expand your reality of what is possible and what you are capable of so you have more reference points to make better judgments in the future.
If someone invites you to jump in to the fire with them then it's probably not a good idea.
To sum this up, I would really just say -- start doing more things.
