Regret can fall into three categories:
Embarrassment
Embarrassment is the feeling of discomfort experienced when some aspect of ourselves is, or threatens to be, witnessed by or otherwise revealed to others, and we think that this revelation is likely to undermine the image of ourselves that we seek to project to those others. In other words, embarrassment is a form of pride and vanity. It does not concern itself with the rightness or wrongness of what you have done, rather how you feel about what others think about it. Regret in the form of embarrassment must be overcome as a Christian, because embarrassment often retards right conduct if the culture is corrupt.
A person who makes a fool of himself but does not get embarrassed and try to "save face" can usually be said to be a humble person.
Shame
Whereas embarrassment is a response to something that threatens our projected image but is otherwise morally neutral, shame is a response to something that is morally wrong or reprehensible. Shame is normally accentuated if its object is exposed, but, unlike embarrassment, also attaches to a thought or action that remains undisclosed and undiscovered by others. Embarrassment can be intense, but shame is a more substantial feeling in that it pertains to our moral character and not merely to our social character or image.
Shame arises from measuring our actions against moral standards and discovering that they fall short. A feeling or regret through shame is a necessary first step to being Christian, for if you do not recognize that you are immoral, you have no need of redemption. Beyond that first step, though, shame is harmful because it is a paralytic. ‘Shame’ derives from ‘to cover’, and it causes you to hide rather than atone or repent. Shame causes one to feel blame or contempt and stunts your self-esteem and ability to love yourself. When carried to its natural conclusion, shame results in the sin of despair and un-charity, as you feel that there is no hope for yourself and you fail to grasp the concept of loving others as yourself.
Guilt
Guilt pertains to an action or actions, and to remorse: Shame says, “I am bad.” Guilt says, “I did something bad.” More subtly, shame involves feeling inadequate in the face of moral standards, whereas guilt involves knowing that one has only failed to adequately uphold moral standards.
It is entirely possible to feel guilty about actions of which many or most of our peers approve, and so it is different from embarrassment. Shame and guilt are often confused and both may be felt at the same time, but the healthier of the two is guilt. When we injure someone, we often feel bad about having done so (guilt), and, at the same time, feel bad about ourselves for having done so (shame). Shame is ego dystonic, that is, in conflict with our self-image and the needs and goals of our ego; guilt on the other hand is ego syntonic, that is, consistent with our self-image and the needs and goals of our ego. In other words, shame offends your sense of self while guilt informs your sense of self.
Faced with the same set of circumstances, people with high self-esteem are more prone to guilt than to shame, and more likely to take corrective or redemptive action.