This is all just my take, but here is why I feel high end Socket 939 chips are exceptionally expensive these days:
Socket 939 was an extremely short lived platform. The vast majority of the CPUs released for it came out within one year from June of 2004 to June of 2005, with a few assorted high end dual core FX models released within a year or so after that. AM2 was already out in mid 2006, along with DDR2, and at this same time Intel was turning the CPU market upside down with Conroe.
This was also not a great time for system longevity since it was at the tail end of the capacitor plague. I'm sure a decent portion of Socket 939 systems were junked either due to boards having bad caps (slightly less common since they tended to use better caps by this point) or being in systems with dead PSUs.
Then, throw in all of the rather huge changes going on in the market at this time:
The start of Intel's 10 year stranglehold on the CPU market
The end of the Windows XP 32bit era as the high end enthusiast OS and the start of Vista and 64bit
With that the end of hardware accelerated DirectSound3D (and basically the entire gaming soundcard market)
The end of Direct3D 9 as the latest thing; the start of DirectX 10 and unified shaders
The end of AGP slots and DDR1 on the vast majority of boards
So, what you end up with are high-end halo products released at a pivotal time for the PC enthusiast\gaming industry on a platform that feels more connected to the previous "era". The performance of the halo products was also left in the dust by Core 2 within months, so it made little sense for the relatively niche group of enthusiast 939 users out there to try to upgrade to FX series as soon as we saw what Intel had pulled off. This is made even worse by the fact that the performance difference between the slowest Athlon 64 X2 and the fastest FX was relatively small, and they didn't overclock well (unlike Core 2).
All that means they are now quite rare, and yet all of those "previous era" things that made them less desirable at the time now make them stand out as a product from a bygone era. There is also, likely, a decent amount of interest in building the fastest ye olde gaming PC to see what it can run today, with DDR1 and AGP, or DirectX 9 class GPUs in SLI.
Finally, lots of people that were poor teenagers back then are now in their late 30s and 40s and have more than enough disposable income to build the system they wanted in 2005-2006.
tl;dr : Extremely small supply + multiple reasons to be of interest = high demand vs supply. High demand vs supply + high spending budgets = high prices.
Now for some blitting from the back buffer.