One of mine came in the bomb shack in TP. When you're collecting the tears of light, you have to set it on fire. Well, it's a bomb shack, so of course this is dangerous. Midna kept screaming at me to leave and I thought she meant "Collect the tears of light and get out of there, Link!" Nope, wrong order. So I got a game over there despite her warning.
I end up with several moments like these because I tend to take in-game information too literally, though. Like in Minish Cap there would be signs that say "Don't bomb here!" I thought they were warning me that it'd cause a rock slide and I'd get hurt. I eventually learned that actually, you're supposed to do the opposite of what it says.