You'd probably have to define what you mean by "expensive", whether it's compared to the average price when I bought it, or what it's reached as of now since then. Though, I wouldn't count games with intentionally limited prints for either of those, especially if that factor was known at launch (and may have been the big reason to pick it up, along with not having to be stuck with a digital copy eating system memory). Anyhow, with the former, probably Fire Emblem: Path of Radiance, which if memory serves was about $90 or so when I found my copy (~$10 complete; ~$15 total if counting having a standalone manual bought online and shipped to complete it). If the latter, maybe Klonoa for the PS1. I got it for $35 complete at the time, which might not sound like that good a find, but it was roughly $80 complete on average at that point (the Wii remake wasn't that much better off in price or availability at that point either), and from what it seems, recent sales would indicate it's been ranging from about $160-$175 lately. Not that I buy games with the intent of reselling; I see it more as average prices I'm glad I haven't had to pay on games I've wanted to play, by being there to find my copies when I did.
I do. Or rather, I used to do it more often, back when I had more spending money and was closer to some of the stores I like to check on. Anyhow, over time, you start to notice trends and patterns to places, which can tell you if they're a good store, or a bad one, or one that is in between, but good just often enough to warrant going back to (it usually takes multiple visits to get a feel for). Funnily enough though, it was mostly Fucking Gamestop and their expansionism that prompted me to start feeling forced into looking for other options in the surrounding towns for older games, as I couldn't find them anymore in my own town by then.
Yep. Hindsight is 20/20, and also a bitch.
Scalping resellers buying from resell shops (or garage sales, pawn shops, etc) likely to already know what they're aiming to buy, should they find it cheap enough to make a worthwhile profit, and probably have smartphones with them to price check (which actually strikes me as a good idea even for those not looking to resell, to know whether a store is trying to fuck you over or not). The nice thing though, when you find something you'd like to play and own that is normally too expensive, but is at a good price for once, is not just that you don't have to pay the average price, but also that a possible scalper is not only denied potential wares to hock at shitty (at a customer's standpoint) prices, but is also denied YOU as a potential customer for that game as well (provided that you're not the time to buy more than one copy of a game). A good, cheap find is certainly of benefit to you personally, but also a loss for them.
As an aside, in my experiences, my own good finds have been a result of a mixture of four or so elements: Patience to wait and not buy the first copy of something you see (exception if you already know it's below the standard price), persistence to search for a good deal, knowledge of your options and trends they might have (in my experiences, even with so many places using Amazon or ebay prices, I still stand a much better chance of cheap finds locally than online), and luck to be there at the right time to benefit. And beyond that, it's still a crapshoot as to what a store might have, and what they might be asking. Don't necessarily go in expecting to find a certain game in a certain price range either; rather, have a broad mental list of things you'd like to find if you could perhaps find them cheap, and use attempts where there's nothing of value as a chance to study the location. Of course, this all might be easier said than done, depending on where one lives and what's around you storewise anyhow.