The EU budget is a lot of money but a small fraction of the combined national budgets.
http://ec.europa.eu/budget/explained/myths/myths_en.cfm
The EU budget was about €144 bn in 2013 - very small compared to the sum of the 28 EU countries' national budgets (over € 6,400 bn). Total government expenditure by the 28 EU countries is almost 50 times the EU budget!
To put this into perspective, in 2013 the average EU citizen paid 283 euros a year towards the EU budget. This is less than a euro a day - hardly very expensive given the benefits that the EU brings its citizens.
In fact, the EU budget is smaller than the Austrian or Belgian budgets.
The EU budget stands at about 1% of the 28 EU countries' gross domestic product (GDP) – the total value of all goods and services produced in the EU. By contrast, the budgets of EU countries represent 49% of GDP on average.
The EU budget is always balanced, so there is no deficit or debt. And 94% of what is paid into the EU budget is spent in the EU countries on policies and programmes that benefit citizens directly.
To expand on the last sentence, this is not money that disappears in a black hole, people get paid from it.