I am not a graduate student yet, but I live a very frugal lifestyle as an undergraduate. I worked 5 part-time jobs at one time and sound as many scholarships as possible to fund my tuition. I bought books online and later sold them. I would share with other students - for example, I would swap books for a semester if we were enrolled in courses we already took. I also took out textbooks for months at a time at the library. Older versions of textbooks worked just as well for the most part.
If I went out, I would drink before and then only get drink specials. I know a lot of them in my town on all different days of the week.
Oatmeal and pasta are my staple foods. I don't buy meat.
I never go grocery shopping without COUPONS! Every time I go grocery shopping, I save 50% on everything by using coupons. I buy 100 or so on eBay for $1 and match the coupons up with the store's weekly ads. I get many free items or items for cents. For example, yesterday I got 2 BIG boxes of Frosted Mini Wheats and a dozen eggs for $1.50 total.
Friends help each other out. I have friends who can fix bikes, cars, computers, a friend who works at the movies and lets us in for free, friends that work at nightclubs and let us in for no cover, friends that work at coffee shops, restaurants, etc. All of my friends work together and help each other out. For example, one person gives another a free haircut if he fixes her computer. Find a talent and use it! Whatever you do, DON'T use that person if he/she is not your real friend!
Watch out for student discounts and military discounts if applicable. Also looks for discounts through organizations. For example, APA members can get discounts on car rentals, hotels, insurance, Dell, etc.
Thrift shop! I almost never buy clothes full-priced. Plato's Closet is a great place to buy and sell used name-brand clothing. Once, I got a dress for $20 that was brand new with tags, originally $60. Nothing was wrong with it at all!
Hope that helps.