There are numerous ways to look at this question, and it also depends on what kind of gamer you are.
For instance, if you're mostly a casual gamer who can spend most of the year playing one or two games online, you probably don't view this as an expensive hobby. But if you're hardcore, and you don't really limit yourself to a particular genre, and special Limited and Collector's Editions of your favorite games often end up on your shelf, you might see it differently.
I've often adopted the following stance: a new game costs $60. You can buy it pre-owned and save a few bucks but for the sake of this argument, let's just go with $60. Well, you could compare that to a movie, for instance; the cost of a new DVD or a Blu-Ray movie is between $15 and $30, right? If it was $20, for instance, and the movie was two hours long, you paid $10 per entertainment hour. If a game is ten hours long and you paid $60, you got a better deal; it comes in at $6/hour. Plus, one is passive entertainment while the other is active.
Similar equations could be made for books and music and playing golf, but in the long run, I really don't think video games are an overly expensive hobby, nor do I see gaming as more expensive than most of the popular hobbies out there. Sports fans will dump thousands a year on going to games, paraphernalia, etc., and gearheads will spend big chunks on new parts and stuff. Gadget freaks are paying constantly; you can't go a month without something better coming out. And don't get me started on those golf bozos…I honestly think it would almost be cheaper to build your own course in the long run.
So anyway, that's my two cents.