What is considered the most valuable LEGO set?
I believe it's the Ultimate Collector's Edition Millennium Falcon (10179).

With a $500 MSRP, it was already one of the most expensive sets available when it launched in 2007. In 2012 it is rare to see it for less than $1500 used but intact, and closer to $2000 if you want it new. There may be some smaller sets that have a greater percentage gain (a set that was $2 going to $20, for example), but I suspect at $2000 and a $1000-1500 difference, this is the largest magnitude.