I think the most common ones are small recurring expenses. Anything monthly and also anything more frequent (weekly, daily).
Psychologically, my mind naturally spends more energy trying to optimize higher dollar purchases rather than small dollar purchases. So I spend time worrying about getting the best deals on airplane tickets, but I don't worry as much about grabbing some restaurant food. It's only 20 bucks, I'll think.
I think a better way to think about things would be to annualize all expenses. So in truth I spend much more eating out in a year than I do on airline travel, but I consciously bargain shop on airline travel and not on dining out, even though dining out is the bigger annual category.
So, some "cheap" things that end up being expensive include:
Cable TV, Cell Phone, Internet. Even some of the hacks to get rid of cable TV add up--Netfilx, downloading a show on iTunes or Amazon, etc. And in spite of MMM's good advice and the existence of cheap cell phone plans, many of us, and an even higher percentage of "normal" people spend way more than necessary on cell phone plans. Because, hey, why waste time haggling over whether something is $30 a month or $40 a month. Well, because doing so is worth the same as saving $120 on plane tickets home for Christmas every single year.
Self-storage. A killer.
Health clubs. For many a worthy splurge, but since the charge is monthly, this isn't a small expense.
Small transportation costs. Quick car trips instead of bike rides. Doing this a few times a week can easily cost $1000 a year, but each time you do it it's only a few bucks so you don't sweat it. I'm a city dweller without a car, so for me the stupid splurge is jumping in a taxi because I'm too late to make it on time by bus or subway or other. Or because it's the end of the night and I'm tired. These are $10 expenses, which doesn't seem like enough to worry about, but when you realize that these expenses recur a lot more frequently than purchases, they add up. I'm going to start forcing myself to think annually. When I don't feel like hassling with the bus, I'm going to think about a $1000-plus annual taxi bill and ask myself how I feel about it.
Another related problem to this frequently recurring vs. rarer expense is that I probably act more frugal around goods purchases than around experiences purchases. For example, if I spend a Saturday out and about with my wife in the city, with even a bit of shopping/browsing on the agenda (horrible, I know), I would never buy myself a pair of shoes unless it was well below retail, and any shopping instincts of hers would make me nervous, but I would not worry that much about buying a coffee, a bottle of water, a meal, a movie ticket. I would probably be better off buying some expensive shoes for both of us on occasion, while being more conscious about bringing coffee in a thermos, packing a lunch, searching for free events, going to a discount movie theater, etc.
True mustachians are way beyond all this and would rarely waste money on a latte, but I think that for many semi-mustachians, especially a certain type of "experience seeker," paying money for experiences seems somehow less bad than shelling out to BUY PRODUCTS. But, since big purchases happen less frequently than small experiences, we may actually have it backwards.
Finally, restaurant meals. These don't even seem cheap, but they end up being way more expensive than we sometimes think. Many semi-mustachians, especially young-ish urban ones, are often in situations where a lot of social opportunities happen with your friends in restaurants. "Hey, let's get together." In an expensive city with a bottle of wine or two, a dinner out with friends can be a surprisingly big expense. $100 for two people is easy to do. A bit painful, but not the end of the world as a one-time thing. But do that once a month and you've spend $1200. Do that once a week and you've spent $5000. Do that twice a week and you've spent $10,000. For anyone outside of the top 10% of income earners in the U.S., that is a TON of money. Let's say you make $100,000 a year, keep $65,000 after taxes, and spend 2/3 of that ($40,000) on necessities--housing, transport, groceries, health care, etc., etc. (And that's not that crazy--that's probably LESS than MMM would spend if he didn't already own a house.) So after working full time, paying taxes, and covering the unavoidable expenses, you only have $20K left to fund: all optional spending, all entertainment, and all potential saving for the future. And if you eat out with friends a couple times a week instead of making a very conscious effort to buck the conventional pressure and spend quality time from friends somewhere other than the usual haunts, you have squandered a full 50% ($10k out of $20K) of your entire discretionary fund on just wine and a waiter to bring your food. Now THAT'S expensive!
