Investors in Argentina at the turn of the century suffered the slings and outrageous fortunes of political instability -- one of the characteristics often associated with an emerging market. Many of those who turned to emerging market mutual funds in the mid-to-late 1990s saw enormous gains, which then plummeted, resulting in equally devastating losses. For example, in 1996, the Lexington Russia Troika Fund went up 67.5 percent, only to drop a whopping 83 percent the following year.

"Now is probably a good time to invest in stamps," says Gamble, not entirely tongue-in-cheek.

Don't get emotionally involved
When the going gets tough, many investors jump ship. Doug Charney, senior vice president of Charney Investment Group of Wachovia Securities LLC, says the problem with many investors is that "they get emotionally involved in their investments." 

"When things get extreme, people get irrational," he says.

There's also what's known as a "herd" effect. When the market starts to show losses, many times smaller investors will become spooked and get out. That, say many financial gurus, is exactly the opposite of what a good investor -- particularly one who is investing for the long term, as in retirement -- should do.

Parker says that although the tendency may be to cut one's losses and run, it's infinitely better to wait it out. "I'm a buy it and hold it kind of guy," he says.

When the country's in a recession, most people don't invest in stocks. They opt instead for safer investments like Treasury bills, CDs and bonds, or look at precious metal commodities.

"In the case of recessions, stocks go down at the beginning and back up when the recession is over, and sometimes stocks even go up when the recession is still going on," Charney says.

Charney also says that stocks going down before a recession is a leading indicator that a recession is about to start, so once the recession is on the horizon, it's generally too late to sell without substantial losses.

Most people who lose big in the market during a recession jumped on the "hot thing of the moment," like the dot-coms or reaching even further back, railroad expansion. Charney says whenever there's a common buzz on a "sure thing" it's a good bet it's not sure at all.

He recounts a famous story about millionaire John  Rockefeller who reportedly exited the stock market when his shoe shine boy started giving him tips -- about a year before the start of the Great Depression.

Everyone knows how that story ended.