#1 - Not mulching Oriental & Trumpets types each winter.
#2 - Mulching before the soil freezes.
#3 - Leaving mulch on garden too long in spring.
Although more moderate climates only require enough mulch (one to two inches) to reduce winter weed germination, colder climates need a bit more attention, in the same way that roses and other "softer" perennials are protected.
During a recent winter, some areas of Wisconsin, Minnesota and Illinois experienced very cold temperatures, with frost levels greater than 5 feet, and without enough snow cover for many plants. The loss of rose bushes, trees, shrubs and other "above ground" plants is a tough one to avoid, but protecting lily bulbs under such conditions is easy if the ground is mulched.
You MUST place an insulating layer of mulch over all Trumpet, Oriental, OT Hybrids or species where gardens are subject to deep freezes, especially if a good snow cover is lacking or not expected. Asiatic lilies do not generally need extra protection, but all other lily bulbs in the Midwest, or Mountain states need to be covered.
If established lilies are planted at the top of a ridge or small hill, the cold will not settle around them as much, so those areas may get by on a lesser amount of mulch, but soggy, wet areas are to be avoided. A good layer of mulch may consist of 8 to 12 inches of straw or hay, tree boughs or other fluffy material. Avoid compacted leaves or grass clippings, this will hold too much moisture and possibly rot the bulbs in spring.
Remove the mulch in layers, as the ground thaws and warms. If you do not, the ground will not evaporate rainfall (or snow melt) fast enough in spring and your bulbs will rot.