Quoted from Deaconblooze:

Actual cheap hobbies...
Darts - A top of the line bristle board and set of steel tip darts will cost you $250 at the most. It's free to use, and requires practically zero maintenance. It's social and pretty much anyone can play. I consider it to be the first thing anyone should add to their game room, even before pinball!
Board games (tabletop gaming) - I got into these in the last few years. There's something out there for everyone. The games themselves normally run about 60, but hold their value pretty well. I brought in more games than I need to try and find some staples, and I'll probably sell those others.
Video games - Think about the cost of a system and the amount of utility it offers over its useful life. It's really one of my biggest bang/buck hobbies. If you really want to make it a budget hobby, consider going back one generation and experiencing that huge catalog of games.
Pool - You can get a solid pool cue for less than $200, anything higher and you're typically paying for fancy inlays etc. Sure, there are some high end shafts that can run a bit of money (up to 500), but I don't think those are necessary for a hobbyist. You can rent a table by the hour at a lot of pool halls, or pay per game at a bar. Even a home table isn't all that expensive. If you're patient you can probably find a quality table anywhere from free to a thousand or so. Pay to have someone move it and set it up, and you can spend less than 2k on something that will last you a lifetime and again, require practically no maintenance. Not to mention the pool table itself offers a lot of utility as a work surface (wrapping presents, food for parties, shopping a pin, poker, etc)
Programming - I've been learning python here and there. I find it rewarding and challenging to plug away at my own programs - basically a puzzle for which there's no one answer. The PC requirements are minimal, so I'd consider this one to be practically free.
Education - There's a multitude of resources available for free... khan academy, mit.edu, etc etc. You can pick up any topic of interest and learn as much about it as you can possibly stand. If you enjoy learning, consider free resources first, and then dive into paid materials if you feel it would be beneficial. I obtained a degree from a traditional 4 year university, and I'll admit that I could have accumulated about as much useful knowledge for free.
Golf - It certainly has a reputation of being expensive, but there are a lot of cheap ways to enjoy the hobby. Buy a solid set of used clubs and they'll last you as long as you want them to (regrip every few years as needed). Buy cheap balls and focus on using one ball/round. Take advantage of twilight rates or loyalty memberships. Walk instead of ride (great exercise!).
Sim racing/flying - OK.. maybe not exactly cheap, but as an alternative to REAL racing, you're saving a ton of money. It's one of those hobbies you can sort of ease into. If you already have a gaming PC, your cost of entry could be as low as a few hundred dollars. Building out my rig has been a hobby in itself.
Fishing - The cost of good equipment and a fishing license every year and you're good to go. I sold my canoe a few years ago, so I'm not really bass hunting as much anymore, but shore fishing has been nearly as much fun. I love just hiking around lakes and tossing a line. I used to have several setups at the ready, now I just focus on a simplistic and easy to carry setup for maximum mobility.
Hiking - Some good footwear is really all you need to get started.
R/C - I used to be into this a long time ago and things have really changed. The same companies are still putting out products, and the prices don't seem astronomical to me. There are budget spaces in this, too. The mini R/C stuff is pretty intriguing to me. I personally have some Micro R/C and was running them in my garage with temporary 1/2" pvc tracks. It was loads of fun, and both vehicles and all the materials cost me less than 200.