The specific set that is most valuable to me personally is non-ficiton, the 3-volume "The Feynman Lecture on Physics" I received as an award when I graduated, which I keep with a couple of his others books. I've got some individual books that are signed by the author or have notes from friends that were gifts or are old copies inherited or found in scavenging used bookstores or book sales. Those aren't really prized as great books I loved for the most part though.

Mentally reviewing my favorite books the only one where the book itself has any significance is an Omnibus of Chronicles of Amber given to me as a gift from a friend, who had borrowed my identical omnibus for a protracted and rough duration while we were deployed so it was a replacement copy with a note written inside the front cover, which IIRC is what got me in the habit of writing notes inside any book I purchase to be a gift.