When it comes to nerdy hobbies, there are far more expensive ones out there than video games, like Magic The Gathering, Warhammer 40K, or cosplay.
While you're spot on with the other two, I'd put MTG as much cheaper than videogames. You can get a pauper scene going for less than the cost of a single videogame. Two starter decks are also less than one videogame. Granted, if you want to hit up Friday Night Magic or other similar events, it gets quite pricey to be competitive... but just as one doesn't have to play videogames online or in tournaments, you can easily just take up cheap casual MTG with friends.
I'd call gaming expensive, if for no other reason than the initial buy-in is expensive. Whatever your preferred device, be it console or PC, you're looking at several hundred dollars to get a machine to play games on. Now, once that's done, it gets far less expensive to maintain (especially if you're ok with questionably legal software)- but considering that, at a minimum, you need to buy the electricity to run your machine, (as opposed to paper MTG, Warhammer, or cosplay) I'd say its a pricier way to go.
Regardless of your choice of hobby, the important thing is to stay within your means. If you cant afford $60 new games, buy older games on closeout or used titles. If you cant afford current gen, buy last gen. Don't collect retro, emulate it. Just remember that none of these things are necessities and you're not entitled to have any of it- so enjoy what you can get.