Pretty much any otoing incidents that involve forgetting to save, really. All that I can distinctly remember is a particular error that causes a lot of people pain- subscript out of range. (The easiest way to solve it is to move the window so that the X overlaps with the X of UTAU. Then, when you click both quickly, UTAU will prompt you to save before closing.)
My biggest is forgetting to save the oto, and didn't see that one or few notes didn't turn into hiragana, ummm, and some didn't play, forgetting to reset the ust, forgetting to use envelope settings.
oopsie! >U<
Here's another...
I lost my first UTAU and I'm not sure why the completed .rar and files suddenly vanished. :x (if anybody has Ushiko Moo by chance, gimmie please!)