Dude, beans and lentils. They are dirt cheap if you buy them dry (just soak beans overnight, and discard and replace the soaking water before you cook them). They are tasty (mash with a bit of garlic and olive oil, toss with veg and spices, throw a handful of red lentils in your soup and cook for 10min, throw cooked beans in the microwave with cheese and enjoy with salsa, etc.). They are filling, have loads of fiber, rate low on the glycemic index, and are suuuuuper high protein gram for gram. Also, beans and lentils are kind of 'get out of jail free' carbs in terms of insulin response. They're also all great to try sprouting; seriously, it's fun.
There are, of course, those who say no to beans due to dietary beliefs (eg. paleo) or 'anti-nutrient' concerns (which are somewhat allayed by soaking beans first). But I will assume that since you are a veggie you are not a paleo eater, and you're asking about new foods so you know how to prepare them in a healthy way!
Tempeh is also great, because soy really shouldn't be consumed unless it's fermented.
Also, eggs; baked with veg in a frittata, fried, boiled, scrambled...it's all good.
Possibly quinoa (cook with apple juice and cinnamon for a switch-up) and oatmeal (whole oats!) as well.
Just play with your food; go hang out with some vegans for a while to get really hard-core tips, and then just being a veggie will be that much easier with all your new food ideas!