If you mean specifically with democracy, it's like what Churchill said, it's the worst form of government except every other one we've tried. It has its flaws like any other, mainly because people are flawed.
If you mean with what Russia's done, plenty. I assume you're talking about the vote in Crimea, which happened during a Russian occupation. Not to mention what they're currently doing in eastern Ukraine. They had an excuse in Georgia, Georgia basically picked a fight. They have no such thing here.
As for what the West has done wrong, plenty. If you mean recently, well a clear example would be the Iraq war. That wasn't handled well, and then the pullout wasn't either (so yes, both Bush and Obama screwed up there). Every country has skeletons in its closet if you look hard enough.