The biggest mistake I ever made in CoX turned out to be a good thing, as it was immediately followed up by the biggest mistake I didn't make...
I was a new player, and I wanted to break in to teaming (I'd been soloing with a scrapper for a while). I made a Kin/Archery defender, and thought of the character as being "assault support" (i.e., boosting the team's outgoing damage). To that end, I took Assault from the Leadership pool, and figured that and Siphon Power would be my "thing" for the lower levels. Billed myself as an "Offender" on LFG (because that's what the cool kids on the forums seemed to call offense-minded defenders), held my breath, and dove into The Hollows.
I was almost immediately picked up by a team consisting of a blaster (the leader), a tank, and a scrapper. In retrospect, there were warning signs up the wazoo - little quips and snipes about whether I was a "real" healer, basically. At one point, the scrapper broke off to attack a purple-conning solo mob, and being the dutiful and clueless lowbie, I followed to support. Suddenly, the blaster and tank both say "Ready!", and shortly after the tank says "heal pls" followed by "lol." I look for them, and for the life of me can't find them.
At this point, I realize the scrapper was no longer part of the team, but I had no idea when he'd left or if he'd been kicked. I find the blaster, who was kiting reds and purples like crazy (and aggroing a few more for his trouble). I bite it in his mob train, he goes down, and then the "helpful comments" start flooding in (every one of the tank's comments ended in "lol"). I added a few "helpful comments" of my own, and quit. I was an angry young Ted.
My big mistake was not recognizing that the group was looking for a "healer," and/or not making it clear that my character was built for another reason. Another mistake was chasing down the scrapper instead of following the leader's lead (in retrospect, he may have been trying to catch the "Atlas Express"). Regardless, I was red hot with fury and embarrassment. I considered deleting the character right then and there - but I channeled my anger, determination, and sheer stubbornness. I played that character for years afterwards.