The most expensive minifigure I've bought so far is RA-7, at a whopping twenty bucks! Not a big surprise I guess considering he's from one of the most expensive Lego sets of all time, the Death Star aka "Dollhouse For Men".
As far as individual pieces it's probably some of the more rarer colored parts. Like these ice cream scoops I bought a few days ago, or other food items I've bought, like the old complete turkey. I also bought a chrome gold brick that was pretty pricey.
...I usually avoid expensive chrome silver/gold/etc items though, just because it's hard to tell genuine ones from fakes, especially now that there's an entire "business" centered completely on huffing minifigs and parts with chrome gold/silver spray paint.
Animals can get pretty pricey too, especially the great big ones like the dragons, although I don't really collect too many of those.
It has occurred to me though that in recent years Lego has produced enough variety of animals that they could do a zoo series, which I think would be pretty awesome. Each set could be like one of the animal attractions... alligators... elephants... ostriches... bears... bug/insect house... etc, etc.
So what are some of the most expensive Legos you've bought? Sets? Minifigs? Pieces?