Note: I'm assuming that the definition of Regular and Completely Regular spaces do not require them to be $T_0$.
While studying Topology, I've found examples that show that $\text{T}_3 \nRightarrow \text{T}_{3\frac{1}{2}}$. However, I've not been able to find an example of a space which shows that $\text{Regular} \nRightarrow \text{Completely Regular}$ without assuming $T_0$ (and thus going back to the case above). Even Steen and Seebach has no examples of such spaces.
So, does there exist a $\text{Regular}$ non-$T_0$ space which is not $\text{Completely Regular}$?
Take your favorite example of a regular not completely regular T0-space $X$, take two points $\spadesuit , \clubsuit$ not belonging to $X$, and give $Y = X \cup \{ \spadesuit , \clubsuit \}$ the topology generated by the base consisting of the topology on $X$ and $\{ \spadesuit , \clubsuit \}$.