Rather than buying your dog those rawhide bones or multi-colored dog biscuits, you can make dog treats at home - better for your pet, better for your budget.
A big carrot serves the purpose of a rawhide bone, for example. Big enough to carry around, and sturdy enough for some good chewing time. Peanut butter - wiped onto the carrot, the dog bowl, your finger ... another great treat that's nutritious and inexpensive. Bits of cheese can be dog nirvana.
For recipes to make actual cookies, hard biscuits, and things, there are several sites with nice collections: stretcher.com has a few, bullwrinkle.com has a long list, and gwi.com promises all of their recipes to have already been kitchen-tested and dog-approved.