First off don't sweat the big stuff, you can't change it. Sweat the details and keep them from becoming the big stuff.
I like playing video games and going shooting at the range, both stress releivers for me. Both cost money. By frugally spending money you keep a flow of it going into the economy, which helps it. Reward yourself for your hard work. Want that new cd? Buy it. New movie comming out that looks good? Go watch it.
Allocate a little bit of scratch for "mindless endulgence" if you can. Something as little as 20 bucks a week can go miles as far as doing things or buying stuff that can help in releiving stress.

-Bill Liptak