I really had to think about this topic from Long and Short Reviews, because the timing isn't ideal - I have just started a WW diet, and while it's going well (lost a stone already) I've had to cut back on basically every indulgence known to man. I haven't even eaten cheese for three weeks, and coming from me, that's something.
There are, of course, low-calorie versions of a lot of things, but it's often a balance between saving the points and enjoying the food. Low-calorie bread tastes like cardboard to me, so I would rather just use the points and have real bread. As for low-calorie wine, forget it.
However, I have discovered one indulgence I can still have - low-fat chocolate ice-cream.
There are a few companies like Halo Top and Oppo that do great ice-cream, so I've been keeping a tub of chocolate fudge brownie in my freezer for those days when nothing else will do. It's not quite up to the level of Phish Food, but it tastes amazing.
So what's your favourite indulgence!