When we present our numbers ie conversion rates we include returning customers with new customers so if for instance your returning customers convert at a 5% and the new ones at a .5% and you look at a site over all conversion you might decide that wow we are doing so well no need to improve however the new customer is whom you need to impress and you are not converting them at the level you need to.

We also have the tendency to look at exit pages and conversion based on site wide however we need to start focusing on macro conversions like from product page to adding to shopping cart and front page to product search we need to learn that every step needs to be addressed as a conversion in the process of getting people down the funnel.