A quick search returned me figures of costs compared to population 'served', in which the EU is relatively lean compared to other national bureaucracy (first of all its huge cost in France!), but these figures are not comparable due to huge differences in duties...
For example I would suggest as an indicator: the cost in investment in EU to create a job
but yes, no doubt I personally I think any money invested in huge institutions to which people delegate power is a waste not just in money but in people ability to live better: as I wrote the 'regulation' approach I don't like: of course I like when (for example in protecting privacy) EU is able to face big multinational corporations, but I would prefer much more investments in citizens awareness about ...privacy, for example, to stay on that subject.
I personally think EU approach is: people are stupid (and, even worse, are allowed to be stupid, or up to: people have the right to be stupid) and our duty is to protect them by regulations and laws! (and often this aim justify any mean)
I do not want to grow up in a family where my parents have this approach.