There are many paths in life. Many roads, narrow, frightening, curving streets one can choose from. And one never knows what might have happened had they chosen a different path.
Katara often wonders what life would have been like, had she chosen to stay in the South Pole. She could be dead now, or sick. She knows she would still have been a weak bender with little self defense. She knows she would have never had the chance to be in love like she is now. It scares her to think of what might have been.
Sokka sometimes ponders what could have happened had he not fought with Hahn that day. He would have gone on that mission. He might have drowned, like Hahn and some of his men did. Yue might still have been alive, because she wouldn't have gone to the Oasis with him. Sokka cries at the moon sometimes and wishes he hadn't loved Yue quite so much.
Toph asks why the gods chose the path for her. Why did she have to be blind? She supposed that she wouldn't have been as good a bender had she been given eyes, but it would be nice to see the sky sometimes. And she hears Sokka crying at night, and wants to comfort him, but knows that he feels no love or compassion towards this cold, blind soldier she has become.
Aang tries not to think about it. He knows what would have happened. He would be dead.
Zuko wonders why he wasn't a great bender like Azula, or a noble fighter like Lu Ten. He asks Agni why he was banished, why he was hated. He knows that he has love now, and hope. But a small bit of him asks if it would have felt better to have been like his own kin.
There are millions of paths and lives and stories, but as the five teens sit around a fire and prepare for their final battle, they know they wouldn't have it any other way.