Sorry about your loss. If it helps, I had two die in quarantine (a good idea, by the way) before the third finally made it the 4 weeks and was put into the main. He/she has been a happy camper for nearly a year now. My first one was doing fine for a week, then one night "vomited" up a huge chunk of ??? right while I was watching it. Within 8 hours, it was dead. Weird.
Bangaii's do seem to be a finicky fish, and I read somewhere that you either get one that is gone within a week, or you get one that's indestructible. Probably an exaggeration, but my experience kind of supported that idea.
Also... as fijiwigi mentioned, you should have NO nitrites in your tank when adding fish. Any trace of nitrites means your tank isn't done cycling yet. Nitrates, at low levels, are OK. If you have no corals, then anything below say 10-20ppm is OK... but you really want to keep them as low as possible.