I tend to draw a line between consumptive and productive pleasures. You can get enjoyment out of eating an ice cream sundae, watching a movie, or painting a painting, but I feel like the first two are very different from the last. Obviously there's the effect (after one you have a beautiful artwork, and after the other you have less money and more ice cream in your body) but it also just feels weaker. Anyone can eat a food and have fun, but to paint and have fun you have to work at it. Get into a flow state, not just a passive consumption state.
I'm still reading "The Evolving Self", which posits that the way to ... happiness? improvement? general goodness? ... is to cultivate "complexity", in which you become a creature of many parts that work together as a unified whole. Differentiate and integrate. Being highly evolved is better, and being highly evolved means being complex. Sounds like Ken Wilber. And I still pretty much agree with it.
(aside: "complexity" is a loaded word; I wish he had picked something else, because by "complex" he doesn't mean "complicated". I like simplicity. But I think I like the simplicity of a very well-made watch: a lot going on, but it's easy to use and all the abstractions are hidden from you. This watch would be a very complex thing, but still simple, not complicated.)
Consumptive pleasures often don't increase complexity. Productive ones often do. But I think the key is the "often"; sometimes you can consume something in a way that adds complexity. And I guess, given that we consume anyway, might as well consume in complex ways.
Case in point: Jonah Lehrer (Radiolab! That's what he's on.) recently wrote a post about why it's worth being an oenophile, even though cheap wine regularly beats expensive wine in blind taste tests. Take away the blindness, let people see the price tag, and expensive wine always wins. So if you don't know wine, your enjoyment goes up with price. But if you do, you can start to pick out other good things in the wine besides the price. That's complex consumption.
I still think it's a siren's call: there are only a few steps from "complex consumption can improve your life" to "you can just sip wine all day, get a job as a sommelier, live the easy life, and it'll be great". But there's nothing basically wrong with connoisseurship.
Okay, we already knew this, right? Sheesh. tl;dr: nothing to see here.