Probably the most expensive game I have, not counting collector's editions, would be .hack//Quarantine. I bought the full set off of a good friend of mine last Fall who isn't much of a collector & was trying to work up some extra money for a PS4. I paid him $150 for the full 4-game set, complete & in mint like-new condition. So I guess that works out to $37.50 / game.
Counting collector's editions, it's probably my Ni no Kuni Wizard's Edition. I bought just the game at first and absolutely loved it, regretted not getting the CE. Then I saw that there were still some available for preorder on the German Amazon, and that those sets were completely in English (game & book). So I imported one for $109, shipped. It's worth at least double that now, not that I would ever part with it.
Probably the most I ever PAID for a game was Steel Battalion, back in the day - I think it retailed for $250. Sadly I sold it, kinda wish I still had it in my collection.
A lot of now valuable games have gone through my hands over the years, back when I was more willing to part with things. I don't want to talk about those.