Goodness, this is an interesting thread, I guess expensive is relative...I always go for how the guitar talks to me, for electric guitars how it balances on my knee, on a strap, how the fretboard feels, how the knobs turn, what the wood looks like, what's the overall perception of craftsmanship, if it gets through that then, it's how it sounds, but that's secondary, because I know I can get the sound I want from an electric by changing things like pickups, pots, caps etc.
Expensive electrics, I have 2 over a grand, a Yamaha SG 1000 bought from a Dr of avante garde music in Edinburgh that found he couldn't fit a whammy bar and a Yamaha TRB4 active bass, the rest are very cheap but play and sound like much more expensive models...I had a 1962 Gibson SG Special (cherry) oh yes and another one 1961 in white, oh and another 1975 in cherry (awful) but these have long gone, now I have an Epi 1961 re issue SG special, and it sounds and plays exactly the same, doesn't have the same investment value. In 1996 I was after a Semi Acoustic and took my cash to Wizard Guitars in Doncaster - spent an hour playing a 1962 Gibson 335 listed at £1800, then the guy showed me a tanglewood Chicago and I compared them both for another hour, they played exactly the same, nope they didn't sound the same, but I went for the tanglewood, replaced ALL the electrics, including a pair of tasty Kent Armstrong PAF's never regretted it. I had an Fender American Strat, but hated it, awful quality...I have a cherished strat that should be expensive but isn't. I bought the bits from the USA and put it together...Mighty Mite ebony gibson width fretboard, Quilted maple ash body, Fender fat 50 pickups, cream scratchplate, sperzels...plays and sounds like a dream, cost about $500 in total, if you've never played on an ebony fingerboard try it, your fingers will just glide around.
For acoustics I brush the strings and if it talks to me, then I'll play it.
I'm not one for fancy embellishments, these usually hike the price, such as a Martin D45 lots of abalone, but does nothing for the sound (I compared a £600 D1 to a £5000 D45 and I preferred the tone of the D1)
I have a tobacco sunburst Gibson J30 and probably my favourite guitar I own is an Amalio Burguet N0.2M Cedar Classical guitar (I think these go for about £1300), this is an absolutely beautiful guitar to play, and has the highest level of craftsmanship, when I re string it, the nut slowly falls out of the 2" wide ebony fingerboard...and it smells incredible aaaaaaaahhhhhh.
I also have a few others which are real keepers...a Squier Tele, a Jaco pastorious fretless...
Never wanted a les paul, just don't like the shape, the only time I loved the sound was on Jeff Becks (Stevie wonder) 'Cos we'eve ended as lovers' he was playing a black LP on the cover and I thought that's what he played on the song, it was actually a Fender Esquire with gibson humbuckers...
The other guitar I always wanted was David Bowies Harptone 12 string