Whether or not a regular expression suffices for filtering depends on the regular expression. If you're going to use the value in SQL statements, the regular expression must in some way disallow '
and "
. If you want to use the value in HTML output and are afraid of XSS, you'll have to make sure your regex doesn't allow <
, >
and "
.
Still, as has been repeatedly said, you do not want to rely on regular expressions, and please by the love of $deity, don't! Use mysql_real_escape_string() or prepared statements for your SQL statements, and htmlspecialchars() for your values when printed in HTML context.
Pick the sanitising function according to its context. As a general rule of thumb, it knows better than you what is and what isn't dangerous.
Edit, to accomodate for your edit:
Database
Prepared statements == mysql_real_escape_string() on every value to put in. Essentially exactly the same thing, short of having a performance boost in the prepared statements variant, and being unable to accidentally forget using the function on one of the values. Prepared statement are what's securing you against SQL injection, rather than the regex, though. Your regex could be anything and it would make no difference to the prepared statement.
You cannot and should not try to use regexes to accodomate for 'cross-database' architecture. Again, typically the system knows better what is and isn't dangerous for it than you do. Prepared statements are good and if those are compatible with the change, then you can sleep easy. Without regexes.
If they're not and you must, use an abstraction layer to your database, something like a custom $db->escape() which in your MySQL architecture maps to mysql_real_escape_string() and in your PostgreSQL architecture maps to a respective method for PostgreSQL (I don't know which that would be off-hand, sorry, I haven't worked with PostgreSQL).
HTML
HTML Purifier is a good way to sanitise your HTML output (providing you use it in whitelist mode, which is the setting it ships with), but you should only use that on things where you absolutely need to preserve HTML, since calling a purify() is quite costly, since it parses the whole thing and manipulates it in ways aiming for thoroughness and via a powerful set of rules. So, if you don't need HTML to be preserved, you'll want to use htmlspecialchars(). But then, again, at this point, your regular expressions would have nothing to do with your escaping, and could be anything.
Security sidenote
Actually, my mission is to let pass
the input value only if it match my
regexp-white-list; else, return it
back to the user.
This may not be true for your scenario, but just as general information: The philosophy of 'returning bad input back to the user' runs risk of opening you to reflected XSS attacks. The user is not always the attacker, so when returning things to the user, make sure you escape it all the same. Just something to keep in mind.