Geoffrey Parker makes luxury board games, out of leather and other rich materials. They are among the best known of all luxury game makers in the world; you can find some of their pieces at Zontik Games, such as this $60,000 Jubilee Chess game.
Other games are a more reasonable few hundred to few thousand dollars. You can see many pictures detailing the production process on their site, or on this video, which also presents some background info on Geoffrey.
Max Parker tells me that they’re working on a commission for a £4.4M game, which should bump it to the most expensive board game in the world when it’s complete.