What am I doing wrong with this voltage regulator?
It's likely you're measuring the voltage between the yellow and blue wires, on the bottom right part of the board. 

However, the closeup of your 7915 shows that the blue wire is the central terminal of the 7915, which, unlike 7815, it's the input and not the ground.

Therefore you're measuring \$V_{OUT}-V_{IN}\$, which is about \$-15\ V-(-18\ V) = 3\ V\$.

You should measure the voltage between the yellow (output) and the red wires (ground) that are connected to the 7915.