I find that it's easy to be frugal on NYE when you have young children.
We went a local neighborhood that's known for having fabulous holiday lights, and walked around, oo-ing and ah-ing. Then came home, got the 3-year old to bed at a decent hour, and the rest of us watched Harry Potter on DVD.
Woo hoo!
We have done the fancy expensive Manhattan NYE, when we were childless, and it's the stuff of great memories, so I don't regret it. Wouldn't label it "frugal" by any means, though.