As long as you are not being ripped off / overcharged and you are doing it with someone reputable.
My reiki teacher does past life regressions, and I would be happy to do those with him as I have known him for several years and know his level of experience etc. However it is a good idea to check the qualifications of the person doing the regressions - they are going to be messing with you psychologically, after all!
FWIW I started to remember some past lives, and it has been both illuminating and sometimes distressing.
I was left, as a 9 year old boy, to die, alone except for my faithful dog, who stayed with me! We have been reunited in this life, under really weird circumstances, which is lovely. (Yes I am aware that I sound like a lunatic, but I promise I'm not much). Not sure how I died, and the overriding impression I get is just of being so grateful that my dog stayed with me, and feeling her fur, and then a sense of peace. Often when I take her for walks I get the unnerving impression that I am about a foot too tall, the wrong gender and in the wrong time...
Also a life as a flat capped gardener on the estate of a large house near where I live now...(roughly 18 century)
Also as a rather learned black man with lots of children!
It is a fascinating subject, enjoy! I used to wet myself laughing at people going on about 'past lives' however now I am one of them, that's karma I suppose!