The most valuable item I ever lost was a "Crystal-Steel Balanced Dagger of Clear Thought", a goodbye gift from Shaba Acidheart. I blame weltall's item conversion script for its loss...
The most valuable I found was certainly a "Holy Helmet" among half a dozen of helmets a GM dropped near the Korogan gate, in times when they were not yet craftable. I collected them all, asked in the Help channel about it, returned them, and was given one as "reward" for honesty. Erelenga Karal still wears it.
@ bilbous: The monetary value is certainly impressive. Years ago I looted several "double-/triple-named" items, values of hundred-thousands were not uncommon; but millions are indeed a rarity.