No.
I’ve got two: Photography and record/CD collecting.
Photography can trap you in an endless cycle of upgrades and acquisitions with its multitude of lenses, filters, macro extension tubes, tripods, monopods, lighting equipment, etc. It isn’t entirely frivolous for me since I’ve had a (very) few paying gigs but nowhere near enough to offset the thousands of dollars spent.
I’ve been a huge music lover all of my life and record/CD collecting was a big part of it until I took an almost 10 year hiatus to focus on university and then other post-graduation interests. I was pulled back in when the MP3 explosion of the late '90s re-kindled my obsession with music. The huge amount of pirated music available through Napster, usenet, et al, coupled with the birth of Amazon led to a flurry of spending that still hasn’t really abated. Currently, I’m pushing close to 1000 CDs and several hundred LPs.
Just this past week, I spent $35 on a rare, out-of-print copy of Treat Her Right (a pre-Morphine project by Mark Sandman) and I’m seriously considering dropping another $60 on Quilombo! by Steroid Maximus (a project by Jim Thirlwell of Foetus fame).
Since I’m trying to save up for a mortgage downpayment, every little unnecessary purchase leads to a twinge of guilt but sometimes I just can’t help myself.
My yaoi manga collection. I have hundreds of books and magaqzines of what is basically gay comic book porn. And since they were all shipped from Japan, I’ve spent a good chunk of money on something that’s hard to justify to anyone but another fan.
On the other hand, I also spend a fair amount on ridiculously impractical shoes but I don’t feel that’s as frivolous for some reason.
Fishing… Bass Fishing… well, fishing for anything that swims really.
anyone that is afflicted knows the curse that I suffer… and I just started making my own lures, which means that I started a second hobby to feed the first hobby.
Oh, god. It’s depressing, my yaoi collection. I’m not even into it anymore, but damn do I have a shitload of doujinshi hanging around imported at great expense! And there was a time when I worked at Suncoast solely for the DVD discount. And then it all got much too popular and I largely lost interest. Thousands and thousands of bucks in the collection.
Comics. I spend more money on synthesizers, recoridng equipment, and records than comics, but I don’t feel guilty about those because I’d give up eating to afford them. Comics, on the other hand, feel frivolous as they’re expensive ($3+ per issue), I usually read them once then store them in a box where they take up a lot of space, and most of them come out in cost-effective trade paperbacks not long after they’re published. I’m up to about a $40/week habit at this point.
I’m a gamer too. I also like almost any kind of artsy craftsy stuff. I did very well in wood shop in high school, and I still want a wood shop. And I want to learn to do leatherwork, and putter around with pottery, and all sorts of fascinating things. And I read, and most of the things I read are not available at the library (plus the library always wants the books BACK, the nerve of them!).
In the past month, I’ve spent just under a thousand dollars on a new sewing machine, accessories, fabric, and notions. On the other hand, I don’t do that on a regular basis, and I’ve needed a new sewing machine for years.
You could just send it all to me I wouldn’t mind.
My tool collection sucks up my extra funds. I tend to only buy quality tools and the costs add up quickly. When I bored I tend to go to different hardware stores looking for good deals, if the deal is good enough I buy it and put it on a shelf.
Let me guess. It’s called yaoi (pronounced “YOW-ee”?) because that’s the sound they make at the moment of penetration? 
I used to do pretty intricate counted cross-stitch. Teresa Wentzler, Mirabilia, etc. Between the costs of the graphs, the fabrics, the specialty & “regular” threads, beads, charms, etc. - it could run $200 for one project before I ever put needle to thread.
VCNJ~
Knitting.
I’m getting a nice stash of yarn here, but I don’t think it’s TOO frivolous as the end result is something nice to wear.
Grandma would say books are my frivolous expensive hobby, but I disagree deeply (and really, I only buy a few books a year, the rest I borrow at the library).
I never thought I’d see a thread where my signature would be relevant.
And of course I forget to display it.
I swear I am single-handedly keeping these three scalawags in red string, English tack, and macrobiotic breakfast smoothies. Just last week my $18.99 bought the brunette a jar of Kiehl’s moisturizer, no doubt.
Yeah, I would bet I’ve spent over 5 grand. And it’s the type of thing that’s hard to pass on or get rid of. I still enjoy and buy my favorite artists (Yamada Yugi, Nishida Higashi, Kano Shiuko, Shimizu Yuki, Yoshinaga Fumi, Miyamoto Kano, Kunieda Saika, etc.) but I have a ton of manga I never reread from the days when I would just order based on the cover as well as several years worth of BeBoy Gold, Reijin, and Hanaoto issues. It’s not the type of thing you can just donate (the library doesn’t really need that much gay Japanese porn) but I’m tired of storing it…
TV shows on disc, and books. I have way more than I could ever hope to watch, and my book collection is growing faster than I read them, but I can’t stop! Damn you materialistic society for making me think I need these things!!
I collect musical theatre recordings on CD and vinyl. The foreign lanuage stuff can really cost you.
I also have a Legion of Super-Heroes comic book collection that I started at age 8, and just never stopped. Most of the expense is in moving the damn thing.
I spend thousands a year on music, but I don’t feel guilty about it-- I spend a lot of time on research, so when I buy something, I know that it’s worthwhile, and I know that I’m getting the best deal possible.
Back when I spent thousands a year on anime DVDs and associated merchandise (seems to be a common affliction!), there wasn’t really any equivalently easy way to try-before-you-buy, so I adopted the philosophy of “just buy everything as quickly as possible and sort it out later.” Not so easy on the wallet. Lately I’ve been better about going slow, prioritizing, and selling off the stuff I don’t like. It also helps that my wife just isn’t into anime, so I can’t spend hours a day watching it without incurring her wrath. 
Fortunately, I enjoy the process “hobby” of investing, so in a sense, my hobby makes money.
In HOBBIES, whether it’s cycling, model trains, stereo equipment, cars, or whatever. . .it’s the “upgrade bug” that kills you. Audiophiles call it audiophilia nervosa. It’s crucial to learn to like what you have.
However, I ride a bike, but I spend WAY less on it than a lot of other people. I’ve probably put more than 2K into it over the last couple years (that includes the purchase), but I’ve also ridden it 10,000 miles, and it keeps me in shape, so there’s no guilt. I’m not frivolous.
I’ve taken up bowling, which can be pricey if you let it, but if you look for good deals and if you’re not an equipment junkie, you can do it cheaply.
Oh, and to the OP. . .I have a Raymond Weil I could sell ya.