Many things. The worst among them was thinking I needed to vent out my butcher's shop with a hole outside....Goblin's walked inside the hole and killed everything.
I did the same when I brought my forge, smelter and wood furnace indoors. I didn't go through with opening them to the outside when I saw they didn't produce any smoke, but I'd placed them specifically with that in mind.
Like many others, I'd been reading Boatmurdered, so my first fortress ended up a great sprawling complex built across only a few z-levels. Apart from the kitchens, stills, and clothing industry, the fortress was incredibly inefficient, with workshops, stockpiles, bedrooms and dining halls spread across a loose grid in the south and a small expansion in the north. Even with some 250-odd dwarves I was hurting for dwarfpower. When I first opened the northern expansion, crops would wither in its fields because my farmers and haulers couldn't keep up with the distances involved.
With dining halls in particular I got a little out of control, putting in at least seven in the main fortress. My very first one, the Old Red Hall, was barely bigger than the bedrooms I make now; on the other hand, the (failed due to evaporation) Fountain Hall was so big it needed two designations. The Green Hall, a largeish hall cut into olivine, and an unnamed moderately-sized hall near one of the housing wings were probably closest to what I build today.
I brought water from the creek in the north end of the map down a canal and into a tunnel, where it ran open alongside a pathway that dwarves would use to reach the original well, part of the mines and what became the central tower. Having read other stories and the wiki, I was paranoid and put pressure-reduction fittings everywhere, which led to extreme inefficiency. My first cistern took months to fill, which led to the construction of the Murder Reservoir near the supply canal when the baron and tax collector arrived.
Since everything was depressurized, I ran most of my water supplies in open canals with a maintenance walkway alongside. I still prefer the aesthetic of this design, but I rarely build it anymore because I usually keep my distribution system pressurized.
The worst single incident that was my fault occurred while I was building a parapet around one of the towers. I managed to drop a floor through the ceiling of the control room, taking out an important lever, crushing one of my founders and injuring bystanders (the control room also being a barracks and dining hall). I stared at the screen for a few minutes after it happened, wondering if I should just abandon.