The "Unrealistic Expectations" blog over at The Chess Improver is a recent helpful reality check on our general expectations for improvement. Pessimists often say adult chess improvement is impossible, due to our failing brains as we age, while the opposing legion of optimists believe they'll make master level after a couple years. And as for the rest of us? Perhaps it's best just to be happy playing the game, although I do think seeing improvement over time is an integral part of my enjoyment of chess as a pastime. Time, I believe, is the hardest factor for fully-employed adults to control and is the primary constraint on our progress. In any case, for those who can devote effort each week to serious chess study, I say continue doing it - while being objective about your results and how far you have to go (see the Alekhine quote above).
For a more detailed look at this topic, it's also worth checking out IM Silman's "The Curse of Unrealistic Expectations" at Chess.com.