What has been your costliest mistake in this hobby?

Too lazy to unload the gear I upgraded from.  Lots of cables, reclockers, power supplies, tube pre amps, phone pre amps, music servers a CD player I used for a month.  I have big plastic bins full of stuff.   My better half is telling me to get rid of all the cables after she went looking for an ethernet cord for her laptop.  Good thing she only looked in the bins labeled cables.

Costliest mistake was buying heavy & super expensive interconnect and speaker cables early in my hobby years....tens of thousands of dollars later I have happily settled for system cables totaling $3k and sounding much better and not pulling my components off the rack!  Oh well!

When I was first starting out in the audio addiction when I was in college and turned equipment over sometimes on a weekly basis with the idea that it would sound better (and sometimes it did), I got taken advantage by a very unscrupulous dealer who always threw in something to the deal which would have been better if left out. The first thing that comes to mind is an Audiosource Equializer/Spectral analyzer. I saw something like it in a movie with all the lights dancing and thought a high end system had to have it.

I couldn't figure out why my system sounded worse until another dealer asked why I bought that and he said get rid of it, and of course when I did, the system sounded better than before that last swap. I learned that once you get an amp/electronics that works, stick with it. I think I lost 75% of my investment when I gave it back to the unscrupulous guy and traded it for store credit to buy records. Never bought another piece of equipment from him.

Speaking of records, I learned not to buy records just because they sound good. Buy the ones you like that are of the best pressing that is available, priced within reason. I really like Nautilus recordings (better than MFSL and most Japanese) and in my excitement over them, I got a few that I rarely, if ever, listen to. Quincy Jones  "The Dude" and Doobie Brothers Minute by Minute come to mind. Basically, most of them that I would not have owned otherwise should not have been purchased. Don't be one of those who buy records like a stamp or coins - listen to them and if you don't like them, sell them and let someone else enjoy them. Or if they do stink, at least you'll have more space in the cabinet. I have to take one out for every new one I get, and it hasn't been a problem yet.  

Other mistake was selling off some non-audiophile vinyl thinking cds would sound better. Didn't get a cd player until it became apparent that new records were not being released on vinyl. I am still trying to catch up and in many cases only able to find non-audiophile vinyl to replace the ones I sold 30+ years ago. Now paying  5 times or more what I sold them for.

Years ago:  bought a brand new and very rare Supex SDX3300 boron-cantilevered HO MC cartridge, expensive for the time and a significant smack to my youthful wallet.  Sweet sounds, oh my.  Bumped cabinet hard, by accident.  Snapped cantilever.  Gave up on audiophile purchases for about 30 years.  Slowly edging my way back in but will never be as silly as I once was.