Here they are:
1. Not having my own site. I used to write for free article directories and put my affiliate link there. Not only I am building other people's asset, my traffic was not converting well.
2. Not building a list. I used to do well in SEO - I was able to drive at least 1000 traffic per day to my site. However, I was not building a list. So, when the Panda and Penguin update hit, I lost close to 80% of my traffic overnight. Lesson learned here. I wish I had started building list earlier so that I don't rely 100% on Google traffic.
3. Trying to sell hard on my review page. By trying to sell, I got lower conversion. People are becoming more and more aware of affiliate marketers trying to make profit off them that they can become skeptical fairly quickly if all you do is just sell, sell, sell on your post. Give them as much information as possible and let them make their own decision. You'll get respect, trust and conversion.
Hope my 3 mistakes will help anyone that's just starting out as an affiliate marketers. Feel free to share your mistakes with others here so we can learn from each other.