We budget for small "treats" to avoid frugal fatigue. As others have said, maybe a coffee out when it's really cold, or maybe we'll splurge a little on a weekend dinner at home.
It also helps to keep the bigger picture in mind. I do get a little tired of keeping the house at 60 degrees, wearing a winter hat indoors, etc., but I know that those savings are going to make a difference elsewhere in the budget. We gave up cable and I think it felt like a hardship for the guys, but when we talked about where that money would be used instead -- vacations, baseball games, etc. -- they thought it was a good tradeoff.
Another thing we've done is use Mint.com to keep track of goals. When we save money somewhere, I transfer money into one of the goal accounts. Mint keeps track of when you will reach the goal, and it's extremely gratifying to watch the date move up a few days, or a week, depending on how much money transfered.