Most sports can be real money pits, if you really put your mind to it. Triathlon attempts to be more expensive than most by combining several sports into 1. Outdoor swimming requires a wetsuit (specialist, of course, and you can clear £300 easily on an off-the-shelf, before spending as much as you want on having it customised to fit your particular physique). Running is in theory cheap, however you'd be surprised how fast trainers wear out, and how expensive they can go.
All this pales into comparison, however, to the bike leg. My first triathlon bike (bought a whole 6 months ago now)cost about £450, and on top of that I've put some cheap aero bars, some new tyres, and a fancy rear-mounted bottle holder, as well as the near compulsory pump, lock and basic repair kit. I reckon that I ride around on about £600 of kit. I regularly joke that my bike costs less than one wheel from some other peoples kit.
I've been doing fairly well at the cycling, given that it was the discipline that I started training on most recently... On sprint distance events I'm placing in the top 5-10% of a field on the bike, and I've also signed up for Ride Across Britain in 2010, which should either sort out my endurance or kill me. as an encouragement I decided to buy myself a new bike, and gave myself a budget of £2000. Which sounds like a lot for a bike....
...then I did the proper thing, and started to do some research. I was vaguely aware that bike geometry had some part to play, as did weight. I very quickly discovered that there is an entire sub-culture out there determined to to spend thousands of pounds to reduce the weight of their bike by a few grams, and that this obsession trickled down to every single part of the bike.
A few examples for you to mull over. My old bike had a Shimano 105 Rear derailleur (the bit that moves the chain up and down the gears). For £50 perfectly practical. It's weight is 222 grams. If you want to save a bit of weight (especially in the wallet department), you may instead plump for a hand-crafted carbon fibre model, at 120g. For a weight saving of less than 100g you pay £700 more.
How about a water bottle holder? Cheap at half the price, for £80 It only weights 27grams, before you put 750 grams of liquid in there... Or perhaps you'd like some handlebars for £800.
Insane costs, in return for a lower weight you could gain just as well by taking a decent-sized shit before a race. You could always go for a package bike, which could save you a fortune. I only just managed to find one that broke the £7,000 mark, though I'm pretty sure there are more expensive ones out there.
The real trap here is that the right kit on a bike can make you faster. It's one of the few sports where you are very reliant on a bit of mechanical kit, and as with anything competitive people will seek seconds where they can, and I have no doubt that for elite athletes those seconds count (even in 9-hour races such as Ironmans). For the over-enthusiastic amateur, however, there are definite barriers at the engine level, and I'm pretty certain that I'm not going to see much of a time benefit with a £10,000 carbon fibre shard rammed up my arse.
So I set about looking at the various options open to me in the price bracket, and it's here that I noticed a real similarity between cycling and PC specs...you can spend an in-ordinate amount of time tweaking and fiddling to get the theoretical biggest bang for your buck. The huge range of parts for a bike, and the number of manufacturers mean that there are a huge combination of setups to choose from.
I toyed with getting something fairly exotic, however realistically machines like that would rarely leave the house, as I'd be constantly terrified of getting a puncture (the more extreme wheels have a type of tyre called a Tubular, which differs to normal tyres in that they have no inner tube, and are instead a fully sealed tyre that is glued to the wheel. Apparently these reduce the roll resistance with the road, and thus make you faster, but do mean a puncture is going to screw you over big time). I'm a big believer in training on/in the kit you race with, so practicality had to play a part.
After lots of hunting around I finally found a bike that covered most of my needs, and (with a well-timed sale) was within my budget. Hopefully, tomorrow, I shall be the happy recipient of a Felt B12. 
It's the cycling equivalent of a mid range graphics card, or a CPU with the architecture of the expensive brands, and ripe for over-clocking. It has the same frame and geometry as £5,000 bikes, and some wheels that are noted for decent aero-dynamic design without insane cost. The individual parts of high enough quality, without going too far over the "minimal weight reduction in return for massive outlay". It has some (compulsory) "fuck you" bling bits too (gotta love the frame cut-outs for the wheels, and the rear brake tucked in behind the seat-post). None of the bits you would expect to wear out are so exotic that they can't be replaced easily (an important consideration when you consider that I'll be training for a 1,000 mile cycle next year).
Fingers crossed it should arrive tomorrow, and after I've put it together (and bolted on the obligatory bits, like a new bottle holder (plastic) and a computer (cheap, but I did go for the wireless model) I'm looking forward to hitting the roads and seeing how she rides. I'd love to get her down the local velodrome, but that's out of action until September due to re-surfacing. Of course to justify it I now have to get my times down, however I'm not daft enough to think that "New Bike = Faster Time"...it goes nowhere without a rider, so I'd better knuckle down and work twice as hard training. I know how much I enjoy dashing past someone on a fancy bike, so now it's up to me to make sure I don't give someone else that pleasure...