Via Tyler Cowen here's a great example of correlation not equaling causation in a paper by researchers Mara Squicciarini and Jo Swinnen called "Women or Wine, Monogamy and Alcohol (pdf)" Here's the abstract.
Intriguingly, across the world the main social groups which practice polygyny do not consume alcohol. We investigate whether there is a correlation between alcohol consumption and polygynous/monogamous arrangements, both over time and across cultures. Historically, we find a correlation between the shift from polygyny to monogamy and the growth of alcohol consumption. Cross-culturally we also find that monogamous societies consume more alcohol than polygynous societies in the preindustrial world. We provide a series of possible explanations to explain the positive correlation between monogamy and alcohol consumption over time and across societies.
They're quite clear that the connection really is a correlation, and they do a reasonably good job of explaining how the two trends tended to develop in parallel.
Question: Should polyamorists take note? :-)