I brainstormed about this for a while and reflected on what past purchases I had made that I liked and hadn't liked. YMMV but here's what I concluded:

• Incremental upgrades to existing items is rarely worth it unless the existing option is terrible; a nice mouse is only slightly nicer than whatever you're currently using, most of the time you don't really use the extra speed from a faster computer, etc.
• Conversely, get things that open up new options for you; e.g. a smartphone lets you do computer things in places where you wouldn't before so is better than a new laptop in many case
• "buy experiences" seems to work; buy a musical instrument and take lessons or other things, learn to bake (and then give away your baked goods to friends)
• Weather-specific clothes can make some situations much easier: if you're cold, buy something warm. It's not actually hard to stay warm and being prepared means you don't have to worry about what going out and doing things based on the weather.
• Spending money to remove minor inconveniences can be worth it; if it bothers you every day then change it
• I buy way more video games than I finish anymore, but still value completing them so I prefer to buy short indie games now
• I consistently over-estimate fancy new electronics and should correspondingly reduce my expectations for things like, say, the Oculus Rift