Thankfully I am really frugal, so we don't splurge much. We have made 1 or 2 ridiculously expensive purchases, but then we use them to the hilt. Still the amount of money spent makes me wince - like our almost $5K mattress - but we love, love, love it, and it has a 30 year warrenty so if we get 20 years life out of it, it was worth it. Plus, you spend a lot of your life sleeping, so we justified it.
The stupidest one though was when we were first married and signed up for a gym membership for a year and only used it 3 times. However, our current gym membership gets used probably 10 times a week between the 2 of us, and it's been that way for over 2 years, so they aren't always a waste of money!