I prioritize grabbing an item I need over saving my skin on the lower levels. I can't tell you how many times I've thrown away a perfectly good run by making a desperate break for a juicy powerup or the PoC (usually play as Marisa, after all). This is particularly annoying in the UFO demo. I'm fairly certain I would not do so poorly if I didn't feel the urge to dive into the danmaku and grab a ufo, especially since the powerups change over time, making it even more to keep track of at once.
Also, in the games with the MoF continue system, if I lose a life too early in the level, I throw away both of my other lives so that I can continue. If I'm still on a run from the previous level, I'll try to hang on, but that doesn't last too long and then I'm stuck trying to play flawlessly in the first half of the stage to make up for losing all of my lives.