Working with approximations is a common practice in physics. This paper presents an exploratory study of student understanding of some of the elementary aspects of approximations encountered in college physics. For this purpose, a questionnaire (a set of 14 multiple-choice questions) was developed to probe how students dealt with these aspects in a variety of contexts. The questionnaire was finalized after a trial of its pilot version on 7 students on the basis of their written scripts and interviews. After content validation by three external experts, the test was administered to a sample of 141 senior undergraduate physics students from a diverse set of colleges and national institutes. Data analysis reveals several significant student pitfalls in the topic related principally to (i) the identification of a dimensionless ratio to characterize an approximation, (ii) the notion of the order of approximation and consistent handling of a problem up to the required order, and (iii) the notion of the order of infinitesimal in calculus-based derivations. The findings are of direct pedagogic relevance.