Definetly a tough question...I honestly don't know what the rarest figure I have is. Since I'm basically cheap for the most part I don't buy a lot of expensive stuff...unless of course I get it cheap.
Some of the higher priced items in my collection are a bunch of boxed/complete Best of the West figures made by Marx back in the 70's.
Last year I lucked out and picked up a case fresh Sandworm from the Dune series for $25, definetly one of the best deals I've ever run across.
Just a week or so ago I finally picked up the Dragon and Lion, both in great boxes from the Super Naturals line, those were by far two of the hardest pieces to find. In the years that I've been collecting I've seen the Dragon loose once, another time in a beat up box, which I also own and the Lion I've only seen 1 other time loose. The Lion would have been mine but the guys girlfriend mistakenly took the wrong box to Toys for Tots
Speaking of hard to find, the M*A*S*H playset is an impossible item to locate, I finally picked one up a few years ago. Haven't seen another one since.
For me those items are rare but I don't know about how rare they are to the rest of the world.
Currently my most prized possessions are my Coleco Sectaurs style guide and a bunch of original card back art from the Silver Hawks.