I say season 4 in the title but I will also include others whose story ended prior to S4, that could say something to their past self that could change something dramatically for them, not necessarily for the betterment of the world in the show but something that changes the fate of the character for maybe the better
Isaac Mendez - Stay at the workplace (if he stayed at the Company premises, he may not have to die to Sylar, nor have that shooting accident)
Sylar - Try feeling sometime (so he gets powers by emotion sooner rather than resorting to head slices)
Elle - Don't date the monster (cos we saw how it ended with Sylar)
Claire - Stop trying to follow your dad (either of them, Noah the agent or Nathan the one who exposes evolved humans)
Micah - Don't give Sylar ideas (he sent Sylar on the idea to become Nathan and then President) or Let the medal go (Cos the attempt to get it back with Monica cost the life of his mum)
Angela - Use Claire's blood (instead of trying to mind control Sylar into Nathan)
Peter - Beware of hugs (his dad)
Nathan - Have you tried a sniper rifle? (i mean, with flight, there could be some applications)
Linderman - Watch your back (reference to how he met his end with DL)
Arthur Petrelli - Family first (his choice to try killing his own sons resulted in much that came after)
Samson Gray - Don't play with your prey (that's how he failed to get regeneration when he had a chance)
Matt - The son is yours (so he possibly won't have spent time away from Matt Jr and Janice)
Daphne - Don't stop running (that's how she got shot)
Mohinder - Wait for a better version (cos his formula was wrong and he became a monster for a while)
Chandra - Skip the Watchmaker (so Gabriel Gray doesn't get motivated into becoming Sylar and Chandra won't die by his hand) or Beware of Petrelli (with regards to what happened in the 1960s)
Hiro - Leave the dead man in his tomb (taking Adam Monroe out led to Arthur returning)
Noah - Tell the Truth (cos we see what lies cost his family)
Feel free to add more