Are limited run sets a good investment if left unopened? So I've been reading a lot about the LEGO aftermarket, and how many will hunt for sets that have gone out of production and will pay sometimes an x multiple of the Retail price for it.


How long does this process of accumulating value usually take?
What is the best way to select newer sets for this kind of investment?
The LEGO aftermarket is changing all the time and there are no defined rules on how a set will appreciate. Over at http://www.brickpicker.com you will find an entire website (plus forum) dedicated to investing in LEGO sets.

The post-EOL rise in price of a set is driven by many factors, some of which are:

Availability
If a set is only available for a limited time on store shelves (typically a year or less), it might see an increase in price after it retires. Alternatively, if a set is available for longer than a year, but frequently goes out of stock during its shelf life, it might also see an uptick in value post-EOL.

Exclusivity
Some sets are not available via all retail channels (and some are even more limited in distribution like the SDCC sets or the Employee Christmas Gifts). Typically, the more a set is limited to specific channels, the more likely it is to appreciate in value.

Desirability
Sets with broad appeal across multiple age groups, or of a subject matter that has a very loyal fan following (think Star Wars, the Beatles, anything Science related) typically do well post-retirement. 

Collectibility
A lot of the post-retirement increase in price has to do with people collecting an entire theme. Often this collecting does not happen from the start of the theme, and people play catch-up to grab older sets that might have already retired. Some examples of this phenomenon are the early Modulars (Cafe Corner, Green Grocer), Series 1 Microfighters, Series 1 Speed Champions, and the early Star Wars UCS sets. A more recent example is the Elves Dragon eggs series, which had a short run and contained one set specifically which acted as the collection base of all eggs (41178 Dragon Sanctuary), which happened to have an extremely short shelf life (4 months in the US).

Rarity of parts
Finally, some sets see big post-retirement price gains because they contain rare or desirable parts. A key example of this is set 44027 Breez Flea Machine from the Hero Factory theme. This set commands a significant premium on the aftermarket purely due to the inclusion of 3 copies of part 92222 - Hero Factory Shield with Handle for Clip. 6 of these pieces are required to make the SDCC exclusive Bat Pod, which is much desired by collectors.

BUT, a big word of warning: for each of the above factors one can find sets that clearly show an increase in value but also numerous examples of sets that should have seen a sharp increase in value, but somehow didn't. Plus, with The LEGO Group's prepensity for set remakes, a set can see a climb in value, only to be followed by a plateau or even drop off following its initial increase. There are no sure-fire winners (and don't believe anyone who says they know one).