While I mostly agree with the advice given in Millionaire Next Door that you should live below your means, this shouldn't be taken to extremes. Ultimately, the goal of acquiring money is to allow you do what you want, rather than to die with as much as you possibly can.

In economic terms, we could say that the marginal utility of each dollar decreases with increasing spending. (i.e. $100 means a lot more to a bum than to Bill Gates). In order to maximize your utility over your lifetime, you should try to equalize your outflow over time. That means you should anticipate how much you'll be earning at different points in your life. In retirement, you'll probably be earning only investment income, so you know you'll need to build a big chunk before you quit working. This is easier the sooner you start, so there's good reason to sock away at least some of your income.

Beyond saving for retirement, though, there's good reason to splurge now. Yes, you're in college, with the lowest expenses you'll ever have. You also probably have the lowest income you'll ever have. Before you buy a new car, I'd suggest you try to figure out how much you'll need for retirement and how much you anticipate saving as you advance your career, buy a house, have kids, etc. Think about how much happier you'll be with a new car now compared to retiring a year earlier. It's not an obvious choice.

You might also consider giving to charity. I give a few % of my income each year to environmental charities like the Nature Conservancy and the Trust for Public Land, which buy up wild areas so they won't be developed. I figure I should do this now so they can buy this land before it's gone. There's probably some issue you feel strongly about, and you might think about giving to help out.

Lastly, just count yourself as lucky (and smart) for being in the position you're in. Most college students leave with a huge amount of debt for student loans and credit cards, because they have no financial awareness.