You are here because you ask Why I do fail in Spelunky ?. I want this to be a short guide of what mindset to keep for this game, not how to actually play it (only a little bit). I believe you can find many detailed guides to that already.
So to explain, I believe these are the three main reasons of failure among players. They are quite similar, but it is only logical:

1. You are impatient
2. You are used to intense action and rushing
3. You are a perfectionist

Patience is a virtue and deep understanding and application of it may give you advantage not only in Spelunky. I dont want here to talk about meaning of life, but keep in mind that patience in general is an ultimate key to success in everything you put your hands into. This game is going to test you beyond measure of any game you have played before. First of all, you have to be willing to fail and keep going. Second, It is essential to learn from every single mistake and minimize it's probablity of occurence. Lastly, set your pace low and speed up as you progress through the game. If you dont want to go like this, or you think it's a stupid approach for a video game, then maybe Spelunky is not for you. This game is far from casual, it's a serious stuff for people who want to get better at what they do.

This is very similar to impatience. I admit I still have big problems with this point. I prefer intense action and fast pace in computer games. That's why Super Meat Boy (SMB) and Dota 2 are on my favorites list. I actually played SMB a lot just before this game and it affected me so much. I did not value death at all and became a speed junkie. Spelunky will punish you extremely for that. You have to learn to let go of the "run" button. Ghost is coming indeed, but trust me you have enough time. Go slow, think ahead, look up and down to get an idea of your surroundings and most of all - plan strategies and timings before you jump into action. In time you will start to see strategy patterns and will use them with ease, however - avoid getting comfortable and stay attentive at all times.

This is me. This word defines me. I get obsessed, I want to collect everything, I want to kill every enemy and check out every corner of map before going to the exit. Chances are you are like me when it comes to games. I apply this approach in all games with great satisfaction. Unfortunately, the guy who made this game does not like people like me. There is the ghost and your time is limited. You are not going to wipe clean the whole level and you are going to understand (after a part of your soul dies) that it is far from effective. You have to evaluate importance and probability of success before taking a path. Keep it simple and do not waste resources.

To sum up, this game is going to change you and your view on games (in this modern age of easily beatable games). It is going to teach you a thing or two. It is the main reason why people enjoy it so much and why it has such a high metascore. It definitely is not for everyone. I may have gone too far and made this game sound like a way of life. Well, what the hell, my another problem is I tend to take things too seriously. Good luck and stay sharp my friend. Peace.