I'm seeing a theme develop across the boards, and this theme is:
MONEY IS BEST SPENT ON LESSONS, NOT GADGETS.
Don't get me wrong - I think there are some fabulous training aids available for the self-taught golfer. But nothing helps more than a great lesson.
Most training aids can be built for a fraction of the price (and most people have done it - so you can probably find it on the web).
Now, that said, there are some training devices I would suggest for the serious golfer.
One is the Dave Pelz lie board - it's a gigantic hitting mat that can simulate the different lies you'll encounter on the course: uphill, sidehill, downhill. Again, this can be built cheaper, I'm sure.
Another training aid I like is the Inside Approach. Not that I spent money on one, I paid about $10 or $15 CDN on some PVC pipe and pipe insulation, and built one - it certainly helped me avoid pushing with the right shoulder (AFTER my pro had indicated that it was a problem).
But the absolute, top-of-the-line training aid I've ever used is the 'Tom Clark'. It's pricey, can't be reproduced from the hardware store, but the payoff is almost immediate, and invaluable. The 'Tom Clark' is only available at Timberwolf Golf, as he's the top instructor there.
Just reinforcing that your money is best spent on good lessons.
/rant.