There has been research that measured the effects of buying things versus the effects of buying experiences, and the findings were that purchased experiences make us happier. So if you can buy a painting on one hand, or a trip to space on the other, the trip to space is going to do more for your happiness than the object.
Think of it as buying memories, a way to spend money on interesting stories and things that enrich your life. You may be more happy budgeting for a trip to your favorite vacation spot than buying new furniture for your house.
A recent study in the Journal of Consumer Psychology has looked at these findings from another angle, and presents evidence that items bought that provide experiences also provide high levels of satisfaction, and that includes things like video games. These experiential products offer much more satisfaction than other objects.
Games shouldn't be seen as objects
The research shows that you can't just look at objects and experiences as two distinct purchases. There are things to buy, and that includes video games, sporting equipment, or musical instruments, that are physical objects that increase our happiness in the same way as a life experience, because they themselves have to be experienced.
"Experiential products, unlike material items, enrich and create their own life experiences (Van Boven & Gilovich, 2003); for example, consuming video games facilitates multisensory, fantasy-like, and interactive experiences," the study states.
"Moreover, the use of goods that render a service tend to be consumed more as life experiences and less as material items (Grönroos, 2008). As experiential products increase in their intangibility, consumers become more likely to reconstruct their evaluations of these purchases as life experiences (Braun, 1999), resulting in similar and rosier recollections (Van Boven & Gilovich, 2003)."
So when you buy a copy of inFamous: Second Son you're not buying a download or a disc at a store, you're buying the experience of playing it, the enjoyment you get out of the story and the mastery it takes to finish the game. Your brain doesn't perceive it as a single purchase, it sees the purchase as an experience, and you enjoy the game as an adventure.
There is also the fact that these experiences are often shared.
"Moreover, video games and sporting goods are often purchased with the intention to be consumed with others. As described by Caprariello and Reis (2013), these social material purchases provide the same amount of well-being as do social life experiences because they both likely meet the need for relatedness," the study continues later.
This also gives us some clues about why video games don't just make us happier, they can provide people with a sense of identity.
"Darwin Guevarra, a doctoral candidate in the U-M Department of Psychology and the study's lead author, said experiential products offer more well-being than material items because they satisfy a person's autonomy (behaviors to express one's identity), competence (mastering a skill or ability) and relatedness (having a sense of belonging with others)," Jared Wadley wrote in an article about the study in Michigan News.
When you buy a game, and become skilled at playing it, you're fulfilling a number of emotional needs.
This isn't just games, these findings hold true for any "experiential products." So a guitar, if you learn to play or simply practice often, will be a very rewarding purchase. So will a hockey stick, as long as you learn to use it and play with others. Video games offer the same sort of rewards as musical instruments or sporting equipment, which offer a good return on happiness for your investment.