Cannabis is my primary indulgence in that respect, since it's essentially harmless and has a plethora of health benefits. On the other hand, while many indulgences are unnecessary or even potentially damaging, if you don't partake at least once, you haven't really lived life. Life isn't meant to be perfect, and neither are you. Sometimes you have to just enjoy the mistakes, since they're inevitable anyway. It is certainly good practice to delay and sometimes even deny gratification, but at the same time gratification is important to living a fulfilled and satisfied life. Learn to take the same feeling from breathing fresh air and being enveloped in sunlight on a nice day as you hope/expect to get from those indulgences and that's enlightenment, IMHO