Use whatever definitions of “expensive” and “delicacy” you choose, but I’ve provided a list of a few things that I thought of off the top of my head as a starting point.
How much did you pay, how was it, and was it worth the money?
Poll to follow.
The only one I’ve ever eaten is escargot-- I had a bite off of my brother’s plate on a cruise ship. It tasted like I was eating a chunk of someone’s shoe, basted in garlic butter.
Fugu – but the American version.
I’ve had escargot in France a few times. My wife likes them and always gets them as an appetizer. They’re not expensive in France (well not in the restaurants I’ve been in) and they taste like garlic rubber to me.
Caviar
Escargot
Foie Gras
Kobe Beef
Truffles
I like escargot and caviar the best.
There are a few places around here that offer Kobe beef hamburgers - we’ve had those, but usually we look at them on the menu and wonder what the point is.
I like Kobe beef. usually, in burgers (which seems like a waste, but I like good burgers)
Had escargot (required – or at least strongly encouraged-- in French class, circa 1976). Haven’t felt the need to try again.
Have no interest in the rest. Iberian Ham might be okay, if it’s just really good ham.
Poll no worky: I could only check one option.
Caviar. Not bad. Basically fish-flavored salt.
One time, I tried salmon roe in a Japanese restaurant. My mind played games with that one. On the one hand, it’s caviar. On the other hand, it’s bait. I finally forced myself to eat it. Not bad. Basically fish-flavored salt.
Escargot. Tasted like butter and garlic.
Truffles. I have had a couple of dishes that were allegedly flavored with truffles, but I could not tell you what a truffle tastes like.
There are several restaurants in my town that serve Kobe beef, but I have never sprung for the extra money to buy it. I was underwhelmed by dry-aged steaks, and I fear Kobe might be similarly disappointing.
Caviar - buy it once or twice a year, not cheap but it’s fun
Durian - Chinatown, seen them whole at a local Asian market but never had the guts to buy one
Escargot - lots of places not too expensive
Foie Gras - The now closed Ambria in Chicago, it was part of a tasting menu that was $150 pp back in like '95 or so
Fugu - Japan (Kyoto), didn’t really care for it, I wasn’t paying
Iberian ham - picnic, guy brought a whole leg from Spain
Kobe beef - Japan (Kyoto), loved it, I wasn’t paying but I saw the bill and outrageous doesn’t begin to describe it
Shark fin soup - Chinatown, it was OK I guess
Truffles - Lots of places, I occasionally buy my own in bulk
Put me down for “other”: I think the most expensive food I’ve eaten was morels.
Price paid: $0. One of my aunts has a big patch of woods, and we searched them out ourselves. That part was a lot of fun, which is good, because I thought the mushrooms themselves tasted terrible.
It’s funky and very intense in flavor. It sometimes tastes like ham that’s just this side of going spoiled. Kind of stinky cheesy and occasionally moving into slightly fishy.
I’ve had several on the list:
Escargot: I used to order it long ago, but don’t bother anymore. I seldom see it even offered.
Foie gras: I like pate, but not how the animals are treated in order to get it. I don’t order or buy it.
Caviar: take it or leave it. It’s usually too salty for my taste.
Spanish ham: there are two types, Serrano and Iberico. Both are very tasty, but also very fatty.
Kobe beef: if you bought it in the US, it’s almost guaranteed not to be Kobe beef, regardless of the claims, and is certainly not available in hamburger form. Supporting articles.
It doesn’t look like I can select more than one item in the poll, but I’ve tried:
Caviar, many times, love it
Kopi Lowak, eh
Durian, my wife likes it, I don’t
Escargot, eh
Foi Gras, who knew suffering could taste so good?
Shark fin soup, eh and an environmental crime
Sweetbread is an expensive delicacy??!
I’ve had caviar, truffles, foie gras, escargot, Iberian ham, Kobe beef and the sweetbreads.
There are different kinds but the two you will find most are Serrano and Iberico. The Iberico come from black-foot pigs and it is intense and strong. Serrano is not as strong and it is very good but it has to be fresh. I wouldn’t call them delicacies though… it is just ham from Spanish pigs cured in salt. Every country has ham.
Very interesting. We bought it in Canada, not the US, but I would assume the same applies. Well, we’re not going to waste any more money on faux-be beef. 
Of the stuff on your list, I’ve only had caviar and probably not the really good stuff. I’ve also eaten morels, which we bought locally and my mother prepared. They were good but a lot of the appeal was her preparation.
I don’t think durians or sweetbreads are expensive, but just exotic in the US. And I thought that true Kobe beef was unavailable in the US?
Every country has ham, sure, but common ham in America is something like this.
It bears little resemblance to Iberico which has been dry aged to remove moisture and intensify the flavor, and like dry aged beef it develops a distinct taste that is often described as “funky” and sometimes moves into the description of “cheesy” and “fishy”.
See my linked articles above.