In production: Stax SR-009, at just over $5000
Out of production, there are some "legendary" headphones that come up on the used market every now and then, for nearly that cost or more, like the Sony MDR-R10 or the Sennheiser Orpheus. Opinions vary on what's really the best, but the Orpheus is probably the most expensive, unless some celebrity custom-made a pair of Monster Beats encrusted in real diamonds.