Playing as the Ottoman Empire. Got everything from Hungary to Somalia to Mesoptamia to Tunis. I got more than 200,000 standing soldiers. So I decide to go into colonization. Start colonizing some provinces in Indonesia. I transport 50,000 men over there and decide to conquer Malacca. I figured they are a sunni state so their lands would prove a good base from which to later take more lands.
Did not check technology levels (How advanced can they possibly be?) nor army size (How big can their army possibly be compared to me mighty Ottoman?). Turns out they had 65,000 men, 1 mil tech level below mine, and even more troublesome, lots of ships. I declare war and within the first month my 50,000 men are reduced to 12,000. I decide to ship some troops over, load 60,000 troops in. Just as they are unloading, the Malaccan fleet shows up... 60,000 soldiers and my eastern fleet (about 45% of my entire warfleet and 75% of transport ships) are at the bottom of the sea. Had to build a new fleet, send more troops over. While waiting for new ships, my remaining 12,000 men get butchered.
In the end I lost 110,000 men in the first six months of the war and close to 180,000 in total. Dozens of ships were sunk and my manpower and treasury took a big hit. After the conquest I lost several tens of thousands men more during revolts for Malaccan independence. Took me decades to get the situation under control and a decade to recoup my losses.
I did use the new territories to colonize Taiwan and later conquer Korea though.