Snazz Industries

When I first saw this set topping the list of expensive Lego sets on Amazon, I was dubious. Released in 1995, this set is reaching nearly 18 years old. It originally sold for $66 and only contained 4 minifigs, only one of whom is unique and even he sells for less than two dollars currently. But still, the price currently on Amazon is almost $2,000 for a sealed set. This insane price increase has to do with two major factors. One, the market environment on Amazon is considerably more skewed than any other when it comes to selling Lego. Due to the high fees that Amazon leverages on sellers, prices often inflate to have some cushion for the fees. But secondly, and more inline with the set itself, is the age of the set. 18 years is a long time to leave a set and never open it. With sealed lego sets after retirement, the supply only goes down as sets inevitably get opened. Even if the demand remains constant across the years, due to diminishing supply the prices will have to rise.
Bottom Line: Even if sets don't preform well in the first couple years, patience is key as supply will only diminish the longer you hold sets.

This could possibly be the most expensive Lego set I have ever seen on offer. It is already 13 years old, debuting in 2000 with 2,882 pieces and absolutely no figures. However, its high price, almost $9,000 at this point, is not without explanation. The Statue is comprised solely of sand green pieces -- a rare color. In fact, if you were to buy the pieces to make the statue on Bricklink, it would cost nearly the price of the sealed set. Sand green was found exclusively in the statue for many years (until the recent release of 10228 Haunted Mansion). These rare pieces did two things. First, they encouraged builders to open sets, reducing the number of after retirement sealed sets. Second, they made sure that the set continued gaining value. While exclusive figures can come and go out of popularity (like Star Wars figures from the 90's with today's kids), certain color pieces will always be needed by builders for MOCs and other creations.
Bottom Line: Be aware of sets that include rare pieces and uncommon colors. These can spur demand after the set retires.