What is the rarest of all the glossy K&C figures?
Well, only 100 of the Waterloo Chess Set were ever made, and, as it retailed for $512 U.S. in 1991, it would probably command quite a bit today.
The original presentation-boxed large sets, such as the Last Stand of the Seaforths, the Marching Bahamas Police Band and Police, the various Cavalry Patrol sets, and the Horse Artillery Gun Team are both large (35 infantry or 12 Cavalry figures per set) and extremely rare so command enormous prices north of 1,000.
There is a Gulf War Commemorative set of U.S. Marines that was limited to 200 sets that I have never seen for sale on e-bay that would have to command quite a bit.
But for my money, the two early WWII U.S. paratroop sets (USP1 and USP2), the U.S. Military Policeman (USMP), as well as the extremely rare Free French Marines and Foreign Legion sets (FF1 and FF2) are probably the most expensive glossy sets, because of the popularity of WWII and the extreme rarity of the figures, especially the Free French, which simply did not sell back in 1993 when they were released.