One of the games that I have lost the most money because of is Heroscape. (Note: Heroscape is at this point a game system more than a single product. The link is to one of the 4 master sets that was produced. Hasbro/Wizards of the Coast has discontinued the entire line, but it all started with Heroscape: Rise of the Valkyrie.)
Heroscape is a miniatures based war game. Before the game can be played, one (or several) of the players must build a map out of plastic interlocking hex-based terrain. The terrain pieces available include rock, sand, grass, ice, lava, water, trees, roads, ruins, castles, etc. After the map has been built, each of the players picks an army of approximately equal value (each hero or squadron is given a certain value in points for this purpose). Once the board is set and armies are made, at the start of each round all of the players place order markers on their army cards (ranging from 1-3 with an "X" for a decoy). Next, the players each role a 20-sided die to determine "initiative" (who goes first), and the first player starts by taking his turn using his "1" army card (an army card can represent either a single hero figure or a 2-4 unit squadron). For each figure on his army card, the player can move a designated number of hexes and then attack any figure(s) within range. This continues until whatever game objective is being used has been met. (You can play elimination, capture the flag, king of the mountain, or just about anything else.)
Now for the pros of Heroscape. First of all, Heroscape is incredibly replayable. With the sheer number of figures that Hasbro created, and the fact that the maps can be custom made each time through, the only reason that a game should feel the same way twice is due to a lack of imagination on the part of the people playing (or if they have favorite figures that they use too often).
The second aspect of Heroscape that counts definitively in its favor is that it is simple enough to play with and teach anybody, but deep enough to keep most people's interest. As opposed to most miniatures games, Heroscape has no measuring (with rulers). To determine whether a unit is in range, you count the number of hexes in between them for distance. To move a unit, you simply move a certain number of hexes. To go up to higher elevation, each extra hex of height costs a movement point. To attack, you roll a number of attack dice (and defend the same way). However, each unit has special abilities - some units fly, some get to attack twice, counter attack, scale walls, etc. This allows the basics of the game to be incredibly simple to teach, and new players only need to worry about special abilities that are on army cards that are in their current game. However, since each army card has unique abilities, it gives the game enough flavor and diversity that it will keep even seasoned gamers interested in playing again.
The third pro for Heroscape is that the terrain can easily be adapted to many other miniatures games. Whereas I do not really play other miniatures games (this is a pro that was pointed out to me by other gamers), it seems to be sized appropriately for figures from Heroclix, Warhammer, and possibly even Axis and Allies Miniatures and Dungeons and Dragons Miniatures. This would allow you to have more three dimensional terrain in those games (and more easily measurable in Warhamer) if that is something in which you are interested.
Now that the pros have been highlighted, here's the biggest con: dice. This is one of the most frustrating games I have ever played when it comes to dice (along with The Settlers of Catan). All of your best laid plans and strategies can be destroyed when your figure with 9 dice for defense gets killed by a figure with 2 dice on attack. I cannot say how frustrating that is. (And yet, this has not deterred me from playing the game. Maybe I'm a glutton for punishment, and maybe I just really like the pros that much).
Now for the next con: dice. Yeah, I really hate that part, so it counts twice.
Now for the second (actual) con: setup time. This will not be a con to many people, and so I suppose I should've listed it more as a point of note. The setup of the map can take quite a long time. With that said, many people will enjoy setting up the map as much or more than they enjoy playing the game (the same kind of people who are attracted to Warhammer because they enjoy painting the miniatures). I personally enjoy the game more than the setup, but my wife seems to truly enjoy building maps. Either way, the time required to setup and tear down the maps for Heroscape have limited my ability to play it for the last couple of years, and so it is something that you should definitely be aware of.
Overall, I give Heroscape an 8.0/10. It is a very fun, very addictive game that (I think) I have played in excess of 100 times. Unfortunately, it will be pretty hard for new players to get in, as the game is no longer in production. If this is a title you're interested in, I recommend trying to pick it up as quickly as possibly, because I'm guessing that prices will go up before they go back down (if ever). Your best bet will probably be to try to pick it up on Craig's list or at a garage sale.