Where is my money going?

There is a old saying "the only two inevitable things in this world are death and taxes". I have been thinking about the later for a while. Whenever I work the government takes about 20% to 25% of my income as taxes. That means, I am working three months of every year for free. But this is not the end. Whenever I spend on something, whether is in the supermarket on groceries or electronics, I am taxed on that as well. The government is getting a portion of my money whether I earn the money or spend it. Doesn't that sound unfair to you. It sure as hell sounds unfair to me.
I am ok with paying these taxes as long as the money is spent wisely and not wasted on pet projects and some government subsidy for parties that do not deserve it. But thats hardly the case. Examples of wasteful spending and pet projects abound. It seems like the term "Return on Investment" does not exist in the governments lexicon when it comes to spending. If this was the case with private industry, then every industry would be bankrupt within a couple of years. The reason why ROI does not exist in the governments lexicon is best described by Milton Friedman in Four Ways to Spend Money . What do you think?