Can a Rolex be a good investment? If just buy a "regular" Rolex, rather than a limited edition, would it be a bad investment compared to the stock market?

This depends on the model of the watch. Subs, GMTs, Daytonas and vintage pieces keep their value very well. Generally, sport modes in stainless steel would command a premium in the second hand market. The classic models (Datejust, day dates etc) would have less value in the resale market. If you can pick up a sport model at retail, do it asap (although this is highly unlikely). That being said, I won’t buy a watch solely for investment purposes and you would be better off investing in ETFs