Magnetic resonance image (MRI) reconstruction from undersampled k-space data requires regularization to reduce noise and aliasing artifacts. Proper application of regularization however requires appropriate selection of associated regularization parameters. In this work, we develop a data-driven regularization parameter adjustment scheme that minimizes an estimate [based on the principle of Stein's unbiased risk estimate (SURE)] of a suitable weighted squared-error measure in k-space. To compute this SURE-type estimate, we propose a Monte-Carlo scheme that extends our previous approach to inverse problems (e.g., MRI reconstruction) involving complex-valued images. Our approach depends only on the output of a given reconstruction algorithm and does not require knowledge of its internal workings, so it is capable of tackling a wide variety of reconstruction algorithms and nonquadratic regularizers including total variation and those based on the l1-norm. Experiments with simulated and real MR data indicate that the proposed approach is capable of providing near mean squared-error optimal regularization parameters for single-coil undersampled non-Cartesian MRI reconstruction.