The only media I change with each water change are the filter pads I cut for my wet/dry filters. I use that Pinky Filter stuff right now, so it's relatively inexensive.
For my HOB's (which are AC110's) I just wring out the filter block in the bucket I drained the water into. When I used the penguin HOB's, I always used their right size C cartridges, and I tended to leave those in for about a month. Then again, they were usually on my smaller, less heavily stocked tanks.
I will guiltily admit that I don't clean my FX5's as often as I should, but when I do, I reuse 1/2 the pads (the ones on the outside) and I change the small circular ones with new ones each time.
I don't use much chemical filtration anymore, so I'm not sure how often you should be changing it; however, I highly doubt you're supposed to change it every time. Depending on the water conditions, the chemical media can last days to weeks before it's exhausted and need to be replaced or recharged. If you do regular water changes, chances are the chemical media will last longer.