Meredith pointed out this frugal post: To Slay a Beast, at One Money Dummy Getting Smarter. Mr. and Mrs. MoneyDummy decided not to eat out any more, but realized they would have to make some changes to their grocery buying habits. [2012 update: this blog no longer exists.]
We've often done many of the same things, especially trying to have a little more fun at the grocery store (figuring that it's cheaper than eating out). We hadn't eaten ribs for years, but Mr. Fixit found some and barbecued them, and everyone was in...well, hog heaven. Sometimes we'll buy a gourmet-style deep dish pizza in some flavour we've never tried before--spinach or chicken or whatever. Or a bottle of good barbecue sauce, or frozen eggrolls to go along with the vegetable stirfry and rice.
The other point that Mrs. MoneyDummy makes is that, unless you want to be totally bored with your own cooking and thus succumb to eating out, you need to get imaginative with the raw ingredients too. I always think of that very sad scene in Ramona and her Father where Ramona's mother looks in the fridge after work and has to make something last-minute out of cauliflower and leftover meat. She's not particularly successful--they eat cauliflower and leftover meat. We often have bits and pieces as well, but I try to be a bit more creative than Mrs. Quimby, so that things will actually get eaten. I think that's easier in the summer, when things like lettuce can be served very simply and taste good because they're fresh and summery--but in winter you can have other standbys, like putting the bits and pieces into minestrone.
For us, that carries over the most into snacks. We might buy a bag of cookies with the groceries, but they're gone by the end of the weekend, so I fill in with "homemade junk food." We do a fair amount of baking, at least when it's not too hot to turn the oven on. I will often throw a pan of garlic breadsticks or muffins in just before supper, to jazz up the meal a bit. I usually try to have something available for the Apprentice to munch when she comes home from school.
And if you still need to feel like you're eating out, you can always change locations. Our kids always think lunch tastes better on the back porch--especially if they've packed it in a paper bag or a backpack first.