The biggest mistakes I've made in Pokemon games are both related to skiny Pokemon. The first was back on Gold, when I one-hit KO'd a shiny Teddiursa, because all the members of my party were a much higher level than it, and even their weakest move did too much damage.
The second one was when I was in the Safari Zone on FireRed. I don't exactly remember why I thought it was a good idea, but I figured that I would get down to one step and one Safari Ball, and rotate around in the square of grass I was in to see what I could find. Lo and behold, a shiny Paras shows up not even five minutes later. Scared it would flee if I threw a rock at it, I went and used my Safari Ball right away. After two shakes, it broke free, and I was told over the PA that my game was over. Like I said, I don't know what caused me to think I should do that, but you can be sure I haven't done it since.