One of my first band gigs was with a praise and worship group when I was 14. The leader, James Nahrgang, would generously drive to my house and pick me up for rehearsals, and help me get to the various churches and festivals that we'd play. We all got along pretty well, but I think my homeschooling dorkiness rubbed the electric guitar player the wrong way. We never fought, but we weren't exactly best friends.
My first show with the band was at a youth group. We played in a shotgun throw room, with students packed wall to wall. Unbeknownst to me, they made some last minute changes to the set list before we stepped onstage. When I confidently started what I thought was the piano intro to the first song, the electric guitar player gave me a glare that would peel wallpaper, then said very loudly into the microphone "gosh Eric, that's not the right song!" For the first time in life, I felt very, very tiny.
Takeaway: there is no such thing as being overly careful about checking set lists. Also, you can't actually die of embarrassment.