Clothes. Cheap clothes don’t last and don’t fit well.
Sporting tickets. I don’t go to very many games, so the ones I go to, I want good seats.
Sheets. Shampoo and conditioner. Really excellent shoes for Himself. Our bed.
Ketchup - It’s Heinz or nothing
Someone said tools, and I’ll add fasteners – Cheap screws strip easy, cheap nails bend
Soap - This company makes the best soap around.
Cars - Bought a BMW brand new in 1999, thing still runs perfect – prior to that, I had too many shitboxes that cost me too much time and aggravation
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Computer components**
Ice Cream - Haagen Dahz (sp?)
Sheets. I used to think that anything around a 220 TC was fine. Then I bought my first set of 600 TC Egyptian cotton sheets. I’ll buy Pima cotton if it’s a very high thread count. But I will never again buy anything less than 600 TC, and no cotton/poly blends for this chick!
Beer. I don’t need to buy the most expensive stuff. But if I can’t at least afford Dundee’s Honey Brown, I don’t need beer that week.
That made me realize that I am like that with tickets in general anymore. If I go to a concert, I wanna be in very good-great seats. When I take my 16 year old daughter to a concert (and read in my car) it is kinda nostalgic to hear about her sitting “on the lawn”. 
Booze - I’m 56 years old and if I want a bottle of whiskey with a price tag in excess of $50, I’ve earned it!
I have to agree on this. I don’t have to have ice level seats, but the game seems much more intense to me there. When we go on road trips and I don’t have ice level seats, I have a better all-over view of the game but it just isn’t as intense!
Alcohol (except wine!)
Shoes (and I am a man). They normally last me for 3 or 4 years and cheap shoes mean sore feet and legs.
Auto parts. Always from the manufacturer
Plays and concerts: When we took our kids to Cats in NY for about the third time, we wound up in a box, with the actors crawling in front of us. That was well worth it.
We also saw Black and Blue on Broadway from three rows back, and Everything Goes very close to the front. Actually seeing the action is worth it. Ditto for concerts. I’d rather watch Dylan, not a TV picture of him.
Same here.
And watches. I cannot stand wearing a cheap watch.
Musical instruments. It makes a huge difference.
Christmas tree ornaments. I don’t even have a tree, but I buy one really nice ornament each year (after Christmas, when they’re marked down). I just have them here and there throughout the house.
Fragrance. I hate cheap scent. Shoes because cheap shoes make for painful feet and painful feet make for a cranky me.
Hookers. The cheap ones just aren’t as good.
I can’t think of a single thing. If we have or do anything that isn’t economical, it’s my husband’s doing, not mine.
Hand tools. Planes, saws, etc. I usually buy 'em used, but only from reputable sites that have really good stuff in good condition, and expect a decent dollar for their efforts.
I second this: NEVER go cheap with hookers!
Travel. If I have the choice between a cheap ryanair or easyjet flight and a more expensive day-long train ride, I’ll spring for the train. It’s so much more relaxing to sink into a comfortable seat and just take in the scenery. Last month my dad and I took a train from Prague to Venice, instead of flying. We went straight through the Alps. It was breathtaking.
Of all the alcohol to not be cheap on, vodka makes the least sense.
The mark of good vodka is absence of badness. It doesn’t take a whole lot to achieve that.
I’ll second that. Now that I’ve spoiled myself with the gooooood scotch, I can never go back to the cheap stuff.
Groceries & yarn.
I’m all for sales or a bargain, but if cheaper means poorer quality, then that’s not the bargain for me.
Really good coffee. I order mine online and willingly pay the premium for quality beans.