Instead of feeling badly that you have so many ideas you haven't pursued, celebrate the thrill of the thought and be content with jotting it into a journal or putting it in Evernote for now. Capturing it should appease your impulse to act and if you still feel as excited a few days later, you can revisit. After all, you don't have to do everything that pops into your head.
Photo by Pimthida.
This also helps to get over our tendency to reject creative ideas. It'd also make sense to figure out where you come up with ideas more often and keep some sort of writing tool handy, like Aqua Notes for those who come up with ideas in the shower.