What a great idea for a thread! This is actually one of my "financial weaknesses" - I tend to get involved in many things at once, and a lot of them cost money. Here are the ones I do the most often:
I keep active and enter a lot of races each summer. I've run 5K's, 10K's, half-marathons, and triathlons. The "expensive" part is the race fees, the shoes, the bike (shown above), the supplements, etc. I enter about 5-10 races per year, which is tough because I also do wedding photography (not counting that as a hobby, as it makes me money), so my weekends in the summer are pretty packed.
I make my own beer, although most of the beer I consume comes from local breweries. Still, it's fun to try and make my own. It's a simple process, but surprisingly nuanced to get it just right.
Cakemaking. I'm taking a cake decorating course, which costs a fee, plus all the supplies and tools, plus the ingredients, not to mention the time investment. Still, I'm having a lot of fun with it.
Star Wars Lego. I'm a little ashamed to admit it, but I love Star Wars Lego, and I've spent way more on it than I should have. The two sets above were a blast to build, but cost around $400 each. When I'm bored, I tend to surf Craigslist and Kijiji, looking for used Star Wars Lego sets I can pick up cheap (is $150 "cheap?").