The mistake I commonly see among MySQL users is how indexes are created. Quite commonly people just index individual columns as they are referenced in where clause thinking this is the optimal indexing strategy. For example if I would have something like AGE=18 AND STATE=’CA’ they would create 2 separate indexes on AGE and STATE [...]
I often see people confuse different ways MySQL can use indexing, getting wrong ideas on what query performance they should expect. There are 3 main ways how MySQL can use the indexes for query execution, which are not mutually exclusive, in fact some queries will use indexes for all 3 purposes listed here.