Here's the funny thing about my purchases, and their related guilt:
I find that the expensive lights that I feel guilty about buying initially (my U2 for example) are the ones I feel best about afterwards. There's some initial guilt about the upfront cost, but I fall in love with them, and use them so much, that withing a few weeks the cost seems justified.
Whereas, the cheapie lights (relatively), like the inova XO and the mag 2AA LED I just got, are the ones I feel fine about during the time of purchase because they're so cheap compared to my other lights. However I feel more guilty about those in the long run, because I don't really use them. They're more of a passing fascination, and soon end up at the bottom of a box somewhere.
In other words, I ultimately feel more guilty about the $30 I wasted on a light I never use, than I do about the $250 for a light that I absolutely love. I have no problem spending top dollar for something that is top quality, and when I really appreciate it, and find myself using it frequently. But even the cheapest, unjustified purchase, is the one that makes me feel wasteful.
For that reason, my flashlight buying habits have settled into a rythm. I don't buy nearly as many lights (nor as frequently) as I used to. Rather, I deliberate over my purchases for some several months usually, becoming well acquainted with lights here on the internet long before I own them. In this fashion, my light purchases have gone from cheap and many, to expensive and few. I find that doing this, my enjoyment of the habit has gone up, my guilt has gone down, and ironically I actually spend a little less money overall than I did before.