First, all rims eventually wear out or fail somehow. Ideally it happens once the sidewall wears through from the brake pads, preferably after 30,000 miles of riding. Secondly, higher-quality rims can have this problem - but as juicemouse says, probably due to overly-high spoke tension. Mavic MA3's have a slight reputation for failing too often at the spoke holes. MA3 had single eyelets (like the "brass rings" that thekid14 mentioned). I had a wheel built with Mavic MA40 (double-eyelet box rim, good reputation for durability) crack at the eyelet on me last summer - only 8,000 miles on the wheel. Rear rim, drive-side eyelet, of course. Perhaps the tension was too high, but I'm not sure.
Anyway, to the original poster: you're probably not doing anything wrong. Unless you built the wheel yourself with really high spoke tension, and/or road on crummy roads with narrow high-pressure tires a lot, etc.