Mine: trusting "Search Partners" and "Display Network" checkboxes on a new Search campaign. On a new account they ate a big part of the budget with clicks that never converted, and because the main campaign reports looked fine, it took a week to notice. Now the first thing I check on any new Search campaign is the network settings, and I compare performance by network in the segment view.
A close second: running a new account at full budget from day one. A brand-new account that suddenly spends a lot, combined with a new payment method, is a classic way to get a "suspicious payment activity" suspension before you've learned anything. Ramping up over the first couple of weeks costs less than the appeal process.
And one that clients bring to us at PPC Rebels (ppcrebels.com) a lot: fixing tracking after the campaign has already run on broken conversions for weeks. Smart bidding learns from whatever you feed it, so set up and test conversions before you launch, not after.