According to Official Guinness Records,
The most expensive film costume is a black cocktail dress designed by Hubert de Givenchy and worn by Audrey Hepburn (UK) in the iconic Breakfast at Tiffany's (1961). The dress was sold to an anonymous bidder by author Dominique Lapierre (France) for his City of Joy Aid charity at Christies in London, UK, for £467,200 (then $924,347) on 5 December 2006.
For a complete list of 2006 records, please visit 2006 Guinness Records in United Kingdom.