It's a ton of fun re-decorating at different ages when they decide that they don't want to be a princess or a cowboy anymore. The not so fun part is spending all of that money every year just to do it all over again the following year.
The key to not going completely broke while playing interior designer for your children is to come to an agreement on some neutral, long lasting looks. Find items that both of you like that will stand the test of time and can be used in the room no matter what the theme may change to.
Solid colors are always useful during situations like these, but sometimes those can be boring. Stripes are a great way to still have fun staple items in the room without being replaced in a year. A striped duvet cover can lend itself to any number of themes — find a color that lends itself well to others (for children: red, blue, yellow, green) and you'll be surprised by how easy it is to create look after look around it.
A striped carpet and curtains are also items that will lend themselves to a variety of styles. If you have a circus themed room now, the rugs and curtains can stay when the themed items are going!