There was an older guy who used to hang out and play at Airway Billiards up in Dayton who got the cue bug pretty bad. He kept coming in with more and more expensive cues. Finally, one day he shows up with a really nice Szamboti (points, veneers, maple windows in the butt) and insisted that I play around with it for awhile. I felt like I was walking around the table with someone's newborn baby in my hands. Don't get me wrong, I play with a pretty nice Nitti, but just knowing that I was toting around $5k+ worth of somebody else's cue was a little strange.
For the record, the cue played great. Nothing really special, though.
As far as the most expensive cue I've ever seen, it would have to be one of the cues I saw at the cue show at Airway or, possibly at the Derby back when it was at the Executive West. There were so many unbelievable cues. My favorite was probably the Hercek with the joker engraved in the ivory handle, though.