This is practically a daily struggle for me, since much of what I'm interested in is aimed at the niche crowds. <_< Everything I want winds up going out of production, and then third-party sale prices skyrocket to the point that you just about have to sell your soul to afford it.
To name one, off the top of my head, I'm still pretty pissed that I didn't pick up Ghost in the Shell 2: Innocence (Blu-ray) back when RightStuf still had a handful in stock (and for cheap). I have the lame DreamWorks version of the movie on DVD, so I was excited when I discovered that Bandai actually released it with a full dub and whatnot, and on BD to boot. Nowadays, it goes for something like $100+. One movie. One hundred dollars. -_- Even the DVD version(s) go for quite a bit. Meanwhile, in the UK, they even have a dual-pack of GitS 2.0 + Innocence on Blu-ray. Sigh. If only importing didn't mean needing a separate player. (Not to mention still overpaying for the product itself.)
The list goes on and on, and continues to grow longer. "Frustrating" is an understatement. With luck, I'll hopefully be picking up Wolf's Rain's Anime Legends box set in the near future, since that's another title falling into this category now.