Why investors fail:
I think that unless an investor is like us, pretty much on the job every day, they tend not to follow their stocks too closely. You have to read all of the news/prs/filings if you want to do the job right.
For 24/7 guys, I think the biggest mistake is not holding a stock long enough. Case in point: From what I have read on the VM board, lots of people jumped ship on MDF before it made it to $3. Even if you rode it from say, 75 cents to $2 and made a nice profit, you could have had another $1, or 133 percent of the original cost. 133 percent just for waiting. Sometimes you don't have to wait too long either.
My biggest problem is not waiting to buy. Case in point: THK. The day that I "discover" an undervalued micro, my heart starts to pound and I am off and running.
My 2-cents worth.