Well, I don't buy a lot of games. There are a few titles that I just MUST have instantly. But, those really don't cost much. This year, those titles have been Portal 2, and Deus Ex: Human Revolution (in a few days). Next year, there will be Mass Effect 3, and maybe Diablo 3 (if it's released). Whenever the next Half Life game is released, I'll buy it instantly. Those, to me, are sunk costs. And it's pretty reasonable, because there aren't a lot of them.
I buy other games too, but I can wait quite a while for them to get cheap. When I played more PC games, I'd generally rely on Steam sales. They usually have awesome deals on something desirable. I remember getting Tomb Raider anniversary for 2 bucks. Easily the most fun per dollar I've ever experienced. Now that I'm shifting more towards the PS3, I'm relying quite heavily on older games (stuff I haven't gotten around to), or used games. I've paid full price for exactly one PS3 game I own right now (Gran Turismo 5... another one of those sunk cost games). I've gotten the rest for maybe 20 bucks each, on average.
It's really just about prioritizing. Realize that there are a few games you'll want right away. So buy them. Then get the rest later, once they've gotten cheaper, or you can find them used.
Oh, it's also really handy when your console's online service has a big security problem and they give you two free games, even though you personally weren't remotely inconvenienced.