Taking any hobby seriously becomes expensive, but people spend the most money on vehicles: New or antique cars, boats and airplanes for racing, collecting,etc. can be really expensive toys!
Lionel train collecting, these things hit for hundreds to thousands of dollars. I would also say stamp collecting if you want to get any of the old stamps.
Expensive hobbies are airplance flying/collecting, horse back riding, moutain climbing and scuba diving. Coin collecting can also be expensive as well as poker playing if you lose a lot.