Ryan,
This is a good question that we get quite often, so I'll be adding it to our collectibles faq. Thanks.
The reason we haven't included specific prices or values on every item is generally because of three reasons:
(1) Prices are always changing. The value of something may go up or go down as time goes on. The condition can also change the value of the item greatly.
(2) For some collectibles, prices can be dramatically different depending on what country you are in and what country the collectible was released in.
(3) The biggest reason though is that the value of an item is usually debatable, especially in the case of rare items. The value really depends on what you are willing to pay for it.
If you do have questions of what a particular Henson collectible is worth, please post them here. And we'll be happy to give you some various opinions. eBay can sometimes be a good gauge of what something will sell for, but at the same time it can be very arbitrary. If two people want something in an auction, the price could go much higher than the value. On the other hand, if an item is listed with a misspelling or a low buy-it-now, it may sell for considerably less than what it's value truly is.
Even though we don't have specific prices or values on most items, there are pages in the collectibles section that include Muppet rarities, Fraggle rarities, Muppet Worlds rarities, and Fantasy Worlds rarities. Generally these are the more valuable items as they weren't released to the general public and may be props, Henson company gifts, or prototypes.