FWIW: I went for it and got into a pretty tough program (OCS US Marines), but got 'boarded' 3 days before graduation. Brutal experience in many ways, but I'm really glad I did it despite not making it to graduation.
My regret is not following through with a meeting/interview at the CIA a couple years later. I don't remember all of the details, but in the end I was afraid of the same outcome ('failing') so I cancelled it politely and moved on; I shouldn't have and regret not even going.
I have read that book (it's been a while but I remember it being a good read) and would love to say something more substantial about my experience, but frankly it simply came down to fear of failure and not wanting to blow it (again).
This is somewhat top of mind because I just found the typewritten letter (this was back in the early 90s) spelling out the process of getting to the interview. With OCS the process was obviously way more explicit, but this was a series of phone conversations that ended with that letter and plane tickets at the airport on a certain day. I was newly married with a baby on the way and chickened out.
While I definitely regret not following through, I really can't complain as I've been very fortunate since.
My regret is not following through with a meeting/interview at the CIA a couple years later. I don't remember all of the details, but in the end I was afraid of the same outcome ('failing') so I cancelled it politely and moved on; I shouldn't have and regret not even going.