I know it sounds cliché and... Well... Wanky, but it's true.
Trying and failing will always feel better than just giving up.
Like someone? Say something. They could humilate you and literally kick you in the balls and in 5 years i guarantee you'll regret it less than if you say nothing. (This is not an excuse to be creepy. If they say NO, then hear the NO. Shit happens. Move on.)
Have an idea for something cool? Try to make it reality. The sad truth is, honestly it's probably going to fail, but at least you will be able to say you tried.
And that 1 fucking time I'm wrong... My god, that 1 time. That's where the best that life has to offer exists. But first...
You have to try...
So ask yourself, really. What's the worst that could happen? ... Aaaand now ask yourself... What's the best that could happen?
You answered "trying" as something that "is ALWAYS worth it" - which was OP's question.
If you now say you need to "weigh the pros and cons" - which I agree - then trying it's not ALWAYS worth it, no?
Then as someone else commented, each person has their own risk tolerance, so once each person weigh the pros and cons, trying will be worth it for some and not for others.
So answering "trying" to "what's something that's always worth it" is rather paradoxical, as what you probably meant then was "trying it, but only when it's worth it".