Never had a problem with the kids wanting things all the time. They have chores to do to earn money to get the things they want. But the problem is as soon as they get some money its gotta be spent right away. We (the wife and I) just don't let them buy the cheap junk and explain to them why.
It was the boys birthday last week (9 years old) and couldn't decide what to get him. So we told him we would go to Fleet Farm and let him pick out what he wanted. He's all into hunting and fishing, though i don't know were he gets it from being I don't hunt and hardly ever fish. He was in heaven looking through the 5 aisles of fishing lures. He ended up get a couple more arows and a bunch of lures. Now he's got something that will last for awhile and enjoy using them.
Video games are more of a family time than anything. We'll get out the Wii and do racing or sports games together. The kids don't just sit down when ever they want, so they don't play them that much. The one toy (s) I have no problems with is Legos. Both the kids have their own and can sit for hours playing with them. They really help with their imagination and besides I have a blast playing with them also