Probably one of the easiest mistakes to make right off the bat is to skim past the somewhat unwieldy stat selection screen (if you're making a custom framework character) to get to the character editor.  Be careful!  Your choice of stats matters greatly in relation to your powers - this handy guide is a nice reference tool for that.

At levels 5 and 13, you get what's known as a "super-stat" (so, two total). These two stats, whichever you choose, will be the main stats that boost your damage (as well as doing whatever the stats originally did).  So you might be building an intellect hero and make intelligence a super-stat for damage, versus a Superman-type doing strength. (Monk's note: Basically, no power is tied to a specific stat unless it says so in the tooltip. That means your "super-stats," no matter which ones you choose, will be used to modify the power's damage. Each framework has two recommended stats which are sometimes good, but sometimes, it might be worth it to go with a custom framework and pick different stats. For example, if a framework recommended Int/Ego, which might result in a slightly higher amount of damage over the course of your character, perhaps you'd like to try out Int/Con will give you a lot more health and possibly a lot LESS deaths. If this is still confusing, let me know. I can go into more detail. But Con is probably your greatest friend. If you can make it one of your superstats, you'll be a much happier person.)