-Thinking "everything is okay, I'm on the path of victory" too early and then dying. Now it's much rarer for me, especially since I am an ADOM veteran. 
-Playing without urge to play. Sometimes when I was bored I was finally going to play, but without any "jazz" to play. That means I'd rather muck around the Civilopedia rather than think about strategy, and just quit the game.
-Stretching your border too far only to find out you are a tasty target to a warmonger who can strike your cities at will, and with underprepared borders it can lead to doom.
-Not having a good plan. The plan really makes everything. I'm currently playing my first ever Emperor game as Gandhi. I'm cruising, having some very good hopes for an easy win with a humongous tech advantage because of a good plan ahead (which consisted of:
-generating a Great Prophet from Stonehenge;
-bulbing Theology for a good trading/bribing tech;
-using the downfall from rapid war expansion [I killed America] to produce Scientists = Great Scientist;
-bulb Philosophy and run Pacifism for more great people).
-Playing a diplo pariah and ending up with everyone Cautious. Unless I have a handful of vassals and a huge empire, I can go without friends. But it's wrong to ignore diplomacy completely or rejecting time by time the demands. Divide and conquer is an important rule for Civ4, methinks.

-Playing without urge to play. Sometimes when I was bored I was finally going to play, but without any "jazz" to play. That means I'd rather muck around the Civilopedia rather than think about strategy, and just quit the game.
-Stretching your border too far only to find out you are a tasty target to a warmonger who can strike your cities at will, and with underprepared borders it can lead to doom.
-Not having a good plan. The plan really makes everything. I'm currently playing my first ever Emperor game as Gandhi. I'm cruising, having some very good hopes for an easy win with a humongous tech advantage because of a good plan ahead (which consisted of:
-generating a Great Prophet from Stonehenge;
-bulbing Theology for a good trading/bribing tech;
-using the downfall from rapid war expansion [I killed America] to produce Scientists = Great Scientist;
-bulb Philosophy and run Pacifism for more great people).
-Playing a diplo pariah and ending up with everyone Cautious. Unless I have a handful of vassals and a huge empire, I can go without friends. But it's wrong to ignore diplomacy completely or rejecting time by time the demands. Divide and conquer is an important rule for Civ4, methinks.