The biggest mistake is not setting a realistic one. Too many couples set a budget without having any idea what wedding related things can cost.
Before you even start on your wedding budget, do your research. Think loosely about the type of wedding you want to have and what things are most important to both of you. Notice I said both of you; not your Mom and Dad, or your Aunt Rita or the lady at work, just the two of you.
Now do your research. Make a few calls and get pricing. I am willing to bet that you have never...