I too used to feel this way too, but changing market conditions including increasing competition and shrinking traffic volumes have me re-thinking my strategies for dealing with global traffic sources.
While I posted an .htaccess country-level blocking script here, that included Asian and high-fraud / junk traffic countries. The problem is that it didn't really seem to work, for me at least, because after I added it, I was still showing visitors from some of those countries in my server stats...
Perhaps there is a problem with the script; perhaps my server didn't support it; perhaps it just isn't 100 percent effective; who knows?
I started looking at other solutions, and while I found some commercial geo-IP filtering solutions, the cost of using them out-weighed the cost of the bandwidth I was "wasting" – so I kept looking.
One solution came in the form of a tool that I already have; my ePower Trader trade script that can be used to redirect "undesirable" traffic. It features an IP database and other means by which traffic from specific countries can be redirected to the URLs of your choice.
While this is a workable solution, I kept considering the concept of "unwanted visitors" – and while I've always been an advocate of shutting the door on these people, with traffic becoming harder to come by, I don't really want to turn anyone away anymore.
Looking at the problem, you have to ask, "Why are these visitors just wasted bandwidth?" One big reason is that you can't bill them, or reach them in their own lingo; and even if you can, you can't sell them a $29.95/mo. membership because that's a whole month's pay in some of these countries...
Enter Password By Phone which allows me to bill 240 countries in 35 languages using a pay-per-minute scheme that bills users in their own language, currency and preferred method, with 'friendly' price points. This allows me to monetize that "wasted bandwidth" – or at least to have a shot at it. PBP also offers its own sites or will build one for you with your own content, and provide the country-level filtering, so that you can seamlessly send these surfers to a special page that might make sales for you, instead of just blocking them outright.
Sure, you won't make as much money per-member, but you're leaving cash on the table otherwise.
Maybe it's time that we all start thinking about how to open the door rather than close it...