My very first time playing Fire Emblem was fairly recent. It was FE4, and Alec, Lex, and Azel all died (I was and still am a noob). I thought they would come back next turn, but no, death in Fire Emblem is permanent.
Also, I somehow managed to complete FE7 first time around without training a single bow user or non-Hector axe user.
Also, in FE8, I still think Seth is God (not sure whether this really qualifies as a mistake or not).