I buy anime pretty frequently, since I do the majority of my anime watching via DVD (or Bluray Disc). Sure, it costs money, but my love for my favorite series is far stronger than my need for other extravagances like expensive food or clothing. My collection of anime DVDs and BDs is small compared to some people, but it's coming along nicely.
For buying anime, like some people have said, buying online is way better than brick and mortar stores. Just make sure you buy from a legit retailer, like Rightstuf or Amazon, in order to avoid bootlegs.
Another website that can be helpful in buying anime DVDs is DVDAfficiando. It tracks your collection, sort of like MyAnimeList or Figure.fm or lots of other similar sites. It's useful for tracking your collection, with it's different tagging features, and for showing people how pimp it is. My collection is at:
http://einhorn303.dvdaf.com/owned
R1 DVDs are actually really way cheap compared to other forms of anime spending. The true dark side is importing R2 DVDs and BDs. The Japanese Bluray release of Clannad will end up costing over a thousand dollars. I don't buy R2 stuff, but I am into collecting dakimakura and now Azone dolls...those can be real income drains (but their worth it, believe me!).