Thankfully I watched a lot of EU4 on YouTube before buying the game, so there are no really horrible mistakes or misunderstandings.
In my very first game as Portugal I knew AE was a thing, but I somehow never bothered to check it and actually it didn't come up for the longest time. Expanding into Africa, the Americas and Asia never caused enough AE to matter. Taking over the Iberian Peninsula also went fine (probably because I always took Humiliation and War Reps, leaving only 50% war score for provinces). Come mid-late game I was a little more ambitious. I wanted to take over the Genoa trade node. All of Northern Italy was part of a Milan blob, which I declared on. First mistake: I didn't call in my long-standing ally France, because I saw they had a bunch of claims on Milan. Second mistake: I assumed I could crush them like Asians. After getting my carpet siege destroyed by the Milanese Doomstack I learned better. In the end I took a large chunk of land and was generally very pleased with myself. Suddenly France flips their shit, dissolves our 200-year-alliance. Outraged, Wants your Provinces -180. Turns out they had a mission to conquer Milan. Ooops. This is where the AE raised its ugly head for the first time in my game experience, since France took full AE due to me not calling them into the war. Soon I had a coalition against me that consisted of France, Ottomans and half the HRE. Thankfully I could diplomatically disperse it before it ever fired, but the threat of being backstabbed by a gigantic France with Ottoman help was scary for a while. Now I know to check missions and pay attention to my AE heat map
The same war I also learned to check for red thumbs-down on the final peace screen. I had Austria help me out against Milan. I knew they had a few claims here and there and I deliberately gave them a valuable province from Burgundy in a side-peace, thinking it would make them happy because they gained land helping me in the war. Then I peaced out Milan all for myself and got a massive diplomatic penalty with Austria. That's when I learned that side-peaces don't matter to the AI
The rest of my facepalming experiences is mostly fighting with the UI, not really fighting with ignorance: Thinking the declare war screen was actually telling the truth when declaring on a subject, then having the Ottomans join day 1 despite the declare screen saying they wouldn't. Declaring an insignificant war and calling in all my major allies accidentally because I re-opened the screen or clicked on a CB (thankfully fixed). That sort of stuff...