Coffee - has to be a good brand, not in the big plastic canisters. I just got some the other day and a brick of 8 O'Clock was the same price per ounce as Maxwell House. I always look for Arabica coffee beans, they are the better kind.
I also buy real cheese instead of Kraft slices or anything like that. Went in WM yesterday, Cabot Extra Sharp was 2 cents less than the WM brand!
I guess my splurge is real food instead of processed.