Short for "Yet Another Stupid Death," the YASD phenomenon originated with NetHack but applies to all roguelikes that feature permadeath, such as Spelunky.
YASDs occur when your character dies for reasons that should have been easily preventable. Examples include:

Killing yourself with your own bombs.
Killing yourself with your own bombs while looting the City of Gold.
Opening a chest without sufficient means to escape a potential bomb trap inside it.
Throwing a rock to hit an enemy, missing, and hitting yourself with the ricocheting projectile.
Teleporting offscreen and dying as a result.
Teleporting into a sealed room, then losing your teleporter and getting trapped.
Teleporting into a sealed room, then attempting to leave the room by teleporting and getting yourself killed.
Teleporting.
Jumping into water while holding your last flare, then dying from some unseen danger in the dark.
Triggering an arrow trap with a projectile and getting hit with the dart anyway.
Additionally, doing the above and getting hit with the dart after it ricochets.
Running forward, and getting shot by an arrow trap that just came into view directly in front of you.
Trying to juggle flares, weapons, damsels, and idols on a dark level and then getting killed by some unseen danger.
Dropping down a long distance without looking first and then falling too far, into spikes, into bottomless pits, lava, man-eating plants, etc.
Holding an unconscious caveman or man-eating plant for too long.
Carrying an unconscious Yeti in Area 3, then getting thrown down the bottomless pit when he wakes up.
Destroying an altar and getting killed by one of Kali's punishments.
Forgetting the arrow key used to grab vines (up) or edges (towards edge) and then falling into spikes.
Trying to escape from a monkey and in the process, falling into some spikes.
Deploying a rope from a high ledge, then failing to catch the rope as you descend and dying from falling damage anyway.
Accidentally angering a shopkeeper.
Intentionally angering a shopkeeper.
Accidently angering a shopkeeper by accidently throwing the dice out of the betting shop.
Taking chances with the spear traps instead of using bombs or ropes.
Trying to kill boss monsters with the whip.
Killing flying saucers at close range when you have a long range attack.
Jumping on a flying saucer.
Hitting a Flying Saucer with a rope and having it crash down and explode on you.
Just about anything involving a monster in a pot.
Looking at a damsel, idol or something equally important while you accidentally fall into spikes or get killed by an angry shopkeeper.
Loitering around a level for too long and getting killed by the ghost.
Picking up an idol and foolishly getting killed by one of its traps.
Trying to avoid fall damage by stomping an enemy, but instead missing, being stunned from the fall damage, and then being killed by the enemy while still stunned.
Moving away from one arrow trap, only to get hit with another that knocks you into an arrow from the first one you saw.
Getting in an explosion for walking too close to a dead fire frog.
Trying to rush past a shop (and its angry shopkeeper) while Wanted, being hit by an arrow trap that you failed to notice in your haste, and being knocked directly into the shop.
Gratuitous sprinting (Death By Boredom).
Attempting to jump on a Man-Eating Plant with Spike Boots on, but miscalculating, land right next to it, and bounce right into it from fall damage, causing you to be eaten.
Being killed in the final boss room by lava or a caveman (Normally an acceptable way to go, but you were SO CLOSE!).
Beating the final boss, then not having enough ropes to get back up to the exit.
Beating the final boss, only to have the block underneath the exit appear on top of you and crush you.
Dropping a Golden Idol in a shop to sell, but accidentally hitting the shopkeeper with it and getting shot.
Trying to destroy a Tiki Trap with a Mattock, but getting speared before you complete the swing.
Trying to bait Olmec down a narrow pit and forgetting to make an escape plan when he pounds down upon you.
Dodging a Boulder after stealing an idol, then forgetting about a little something called rebound.
Leaving the Idol Altar way too fast after snatching, then coming back after you thought the boulder was gone... Only to be crushed by an "off-screen delayed activation"
If, upon dying, you slap your forehead and curse your carelessness, then you've probably suffered YASD.
(If these circumstances seem too specific, try playing Spelunky more!)