Absolutely no regrets at all. My M3 came with the optional M Double Spoke 19s, and after driving it for a while I mounted the OEM M Double Spoke 18s instead. I think the performance, ride and appearance of the 18s are superior to the 19s.
All other things being equal (same wheel make, model, width, etc.), 18" wheels will ride better, handle better, accelerate better and brake better because they're lighter than 19” wheels. 18" tires also weigh less and are less expensive than 19" tires which are added bonuses.
2013 BMW 328i Sedan, 6MT, M-Sport
2004 BMW M3 Coupe, 6MT