1) this one is undisputed- The first appearance of Tarzan in All Story for October 1912. It consistently sells for around $20,000 in decent condition. There's a lot of interest in Burroughs and this is the prime cut. I bought mine at the California about ten years ago.
2-4) Pulps- This genre continues to uniquely bring high prices for rare and good condition issues. I could probably list a dozen that sell for over $3000 but I'll be specific about a few. Weird Tales Number 1- as I said, there are many, many pulps that routinely sell for over a few thousand dollars but this one usually brings the most money. There are two versions, both considered the first- I suspect the one with the incorrect colors on the face was the first printing. Value around $8000. Other biggies: Doc Savage number 1- $5000- Thrill Book number 1- $4000- Shadow (american version) number 1 $5000. Saucy Romantic Adventures number 1 (first appearance of the Domino lady)- $5000
5) First appearance of Ernest Hemingway in his high school magazine- Tabula, February 1916. I've only seen one copy- I bought it ten years ago from Peter Howard of Serendity Books in Berkeley Califoria. current value $8000.
6) Camera Work- Issues of this highly sought magazine edited by Alfred Stieglitz all bring many thousands of dollars, depending upon the amount of original gravures contained. The first issue was selling a few years ago for $5000. There are quite a few issues of this caliber.
7) Look Magazine number one- see the recent blog post- a legendary rarity- $5000
8) Playboy (1953) number 1- This is a great example of the economic law of supply and demand. Despite the fact that it is not at all rare, nice copies consistently sell for $3000 or more on eBay.
9) New York TV (pre-national) Guide number 1- There may not be a copy in existence- there is a reproduction issued by TV Guide Specialties of Macomb, Illinois but I am told the original has been destroyed or lost. If one surfaced, it would sell for at least $3000, if not more.
10) The first appearance of Ulysses in Little Review- 1916-1917. I lumped these together because its one of my favorites. The issues are extremely fragile and 14 of the 18 parts were serialized before it was banned by the Society for the Suppression of Vice. A nice set should bring around $5000. There are many important and expensive ($2000-3000) literary first appearances in 20th Century magazines- Hemingway, Faulkner, Fitzgerald, Hammett are among the most valuable.
and I'll put in one sleeper:
The first appearance of Madonna on the cover of Island Magazine, October 1983. This local magazine is quite rare and extremely sought after. It brings over $1000 on eBay on the rare occasions it appears. Madonna has a very solid following and her appearances are highly collected, only exceeded in popularity as a female icon by Marilyn Monroe. This one could sell for many thousands in the future- great demand- very limited supply. I got my copy two years ago while with my daughter when we were going to a movie and dinner for father's day in Manhattan. I spotted it for sale by an unsuspecting street vendor-price- $12. Sometimes you just get lucky!