Historically, what types of sets have proven to be a great investment? My brother recently sold some of the lego he had as a child, and they went for a lot more than they cost originally, even taking inflation into account.

So, what types of sets have risen in value most over the years?
The less sets there are available, the better the chances of a rising price. This implies the sets that will get more expensive with time are:


Sets that are or very close to being out of production
Sets that are expensive when they come out (> less sales)
Very large sets (expensive > less sales)
Licensed sets like Harry Potter or Star Wars (short production-time > less sales / collector's value)
Sets with unique/limited parts or colors like the maersk-ships
Collector's editions


But note that it's never so easy - licensed but small sets for example won't become very expensive as they usually sell very well, so you should look for a set with a combination of this criteria. For example: a very big licensed set like the Millennium Falcon.