This a concept I finally grasped this past November. Here are some of the tips that worked for me and hopefully they will be of some assistance to you.
I love to visit cities that trend on the more expensive. That doesn't mean you have to pay an arm and a leg to visit. Here are some tips I wish I would have followed before most of my recent trips.
1. Buy your plane ticket early
I'm going to New York at the beginning of January. I was mostly on the fence until about a month and a half to two months out I had seen an advertisement on JetBlue's Facebook site for 20% off any flights within a certain date range. I ended up getting tickets for $135 after tax each way. Talk about a jackpot! Many airlines seem to have these outstanding flash sales. I've since seen similar deals from Virgin America and Southwest. Like your airlines and hotels and you might see an enticing enticing deal as well
The other issue with buying your ticket early has to do with rising costs when your planned trip date is approaching. Prices tend to get higher and it will make you kick yourself in the foot for missing the rates that would give you more dough to spend on fun activities. Start checking the airline sites around Tuesday and avoid buying on the weekend. I ended up riding the train cross country because I was too late in booking a flight. I ended up eating an extra 40 buckaroos. In my language, 5-8 beers I could have had.
2. Read the fine print on the travel booking sites
Boy did I learn my lesson from this one. It only took twice. I booked my room on Priceline and it gave me a price that I thought looked VERY appealing, and there was a blurb underneath stating "Tax Not Included". That is a confusing statement, don't you think? It was for me and I took it at face value as the site would pay for that. Kinda dumb, I know. When I was entering my info on the site, I also didn't see a place to add my AAA discount too either. My best recommendation is to call the hotel up and ask if they can offer the price on the travel site. It's a 50/50 chance especially in summertime.If so than make sure you ask for any additional discounts such as AAA. I easily would have saved an extra 10% by doing so.
3. Just because it's expensive doesn't mean you can't do anything for free
New York is an expensive town. Even so, there are a zillion activities you can do for free. Many art galleries including MOMA and Guggenheim offer free days, Friday and Saturday respectively. There might be a line, but who cares. a couple of other free places to visit are the 911 Memorial, the High Line, Central Park or Flushing Meadows where the Worlds Fair was held. You just need to be creative. Just fyi one excellent place to visit in Chicago is Millennium Park, where the Giant Bean resides.
4. Talk to the guy/lady sitting next to you
Talking about the Giant Bean. When I rode the train to New York last summer, my first train ended in Chicago and the next one I had to wait several hours to board. I talked with my seat mate the entire trip, and he just happened to be from Chicago. So I asked him where some fun places to see and where to eat. He walked me down to Millennium Park which completely blew my mind that somebody would go that far out of their way for me. He also gave me recommendation for a place to eat, but I ended up having to skip out on that and find a nice burger joint instead. The point is, if you strike up a conversation, you never know what kind of connections the people around you might have. Just don't be annoying about it.
5. Choose the off season for lower rates
I'm planning on possibly an extended stay in a region far different than any I have experienced to date. I've only seen the region at its best, and now I'm about to see it at its worst. What are the benefits of this? Nobody wants to stay in a drab dreary snowy place. That correlates to awesome plane ticket prices and killer hotel rates at hotels that would normally be 2-4 times as high in the summertime. It might even make some activities cheaper as well because nobody wants to leave their warm house for the "extreme" cold. Just make sure you pack accordingly for wherever you might be planning.
As with anything else that you might potentially spend thousands of dollars on, do your research, leave your itinerary somewhat loose, and plan for your trip. You will enjoy your trip much better, and everybody will be jealous that you are going on more trips than they are. Don't be cheap, be frugal. It's worth your time.