For my DFiance and I, we spend more on things that are of higher priority to us. Vacations are included in this.
We don't (relatively) spend a ton at WDW, a typical vacation there for 2 weeks will cost $4,000-5,000 for the two of us. But when we go to San Francisco, Lake Tahoe, Whistler, Seattle or Denver we spend a lot for the shorter trip.
This year, of those cities we haven't gone to Whistler yet but that's only to avoid the Olympic crowd, although we were originally going to go. The rest we've been to at least once. A lot of the trouble is that I am a student and so is a resident so we have schedule a lot of our vacations on weekends which usually leads to having to spend a lot more on hotels and flights. And I work on weekends so I have to take time off for it.
A lot of our friends don't understand how or why we do this a lot but to us, the money spent on vacations (and most importantly the memories) is a lot more important than money spent on silly things like eating out all the time or going to the bar and dropping $50 on booze. Between the both of us, we spend only about $30-40 on groceries every week. I don't even have my own car anymore so I either use his or public transport. And we almost never shop for silly things. And the things we do buy are quality things we buy and make them last. We're not cheap or anything, believe me, but we also make sure we buy things we'll really use.
We also currently don't save our money but we're young and we're both headed toward careers that will pay WAY better than we could ever save at this point in our life. So why not live it up? We're without kids, and although we look forward to taking future offspring places, there's a lot more flexibility right now.
And our other big investment is in outdoor gear. Hiking, skiing, rock climbing, watercraft... we're some of the US Outdoor Store's biggest customers.