As long as I put away ~45% or so after all expenses (bills, very nice apartment rent, food, nice car, student loans) from every paycheck, I am happy. I do occasionally buy something crazy (85" Sony 4k TV the other week, or a christmas trip to California to go hiking/being a tourist) and I am not afraid to go out to the bar with friends or go to a nice restaurant at least a once or twice per month, but I do keep track of spending and can keep it well in control.
I can be fired tomorrow and have more than a year of cash on hand to live at my current lifestyle, and almost a year and a half if I were to live frugally.
But it all comes down to building good habits. I like expensive things, but I get just as much pleasure by seeing my savings go up by $1500-2000 per month.
Finally, I do think it is a male-female thing to an extent as well. Myself and my friends can all live how we do because we manage money effectively. I compare them to their GFs and my list of GFs/former GFs who almost never knew how to save up or budget their lives. I forced my current one to open up her books and let me set a budget for her, because she makes slightly more than I do, and we both got jobs out of college at the same time, but she barely has enough money to cover herself for 2 months in case of getting fired, and is always balking at paying for things because her bank accounts are in such poor shape.
We looked at her spending, and even though her big expenses (apartment, car, student loans) all come out to what I spend roughly, her choice to eat out all the time (3x days per week) drink Starbucks every day, and always buy small purchases at Bath & Body Works, the grocery store, and other places just rape her account. She doesn't need Lululemon workout attire when she can get nearly the same quality at Dicks. She doesn't need a smelly candle when she has 16 half used ones at home. She doesn't need 20 pairs of shoes, 80 sets of underwear from Victoria's Secret, 40 bras etc. Its just buying stuff to have stuff.