A variety of reasons:
I want to have it day 1, its something I simply don't want to go without.
I want to support a game that doesn't have the user base it deserves such as Yakuza.
Multiplayer in games lately has a huge dropoff after a month, and waiting for the price to drop for most games could mean getting the game far after its multiplayer has lost its audience.
A lot of games, specifically Nintendo games, may never see a price cut. Super Smash Bros. Brawl, Legend of Zelda Twilight Princess, Super Mario Galaxy have never seen a price cut, and at this point I've waited years just to pick up one game.
Honestly, I spend a lot of money on games, sometimes it feels like a waste, but there are also games that I spend over 100 hours on. If I get 10 hours out of a game I spent $60 on I think kits worth it. I almost always pick up games near launch if I'm interested in them. Its an expensive hobby though, and if next generation is all motion sensors and cameras this will be my last big generation, so I might as well live it up.
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