Fool me once, shame on you; fool me twice, shame on me.
Hoist by their own petard. (Technically, this is not a "proverb", but I thought I'd include it anyway since it was so appropriate)
If at first you don't succeed, try try again.
Don't change horses (or donkeys) in mid-
Practice what you preach
Seeing is believing (or NOT believing in this case)
You can't judge a book by its cover
Turnabout is fair play
Birds of a feather flock together
You can't please everyone.
There is no fool like an old fool
Laughter is the best medicine (even if you don't get your social security)
Feel free to add your own proverbial links in the comments!