My (one and only) gun purchase was not started as a hobby. I felt it was, if not a necessity, a prudent idea.
I am much more involved in shooting now, because I enjoy it and have started practical action shooting to develop my skills with the club at the local range. Also, I like learning and developing new skills, so shooting is a good challenge.
Thus far it is not even close to as expensive as my other hobbies like horses, scuba, skiing, and buying tools and 'toys' to run my 'hobby' farm.
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Edit: I'm reading the Millionaires thread and feeling a little guilty. I tend to respond to posts very 'literally.'
But altho I do like to spend my $$ on 'experiences' (rather than 'things' usually), I also have to make sacrifices elsewhere....2 vehicles both over 15 yrs old, an ancient horse trailer, my TV is over 10 yrs old (and I bought it used!), I'm not into clothes or shoes, etc. Life is all about compromise....but it's also about focusing on what you enjoy.
I'm thrilled when I read the threads here where people are spending their time and focus on their wives/husbands, families.