For me it was Ayn Rand - Atlas Shrugged, and I begrudged every single penny of the 50 pence I paid for it in the Oxfam bookshop on Byres Road.
It's the only book I've ever intentionally destroyed, too. I soaked it in waste Citroën hydraulic fluid, and took it out to the gravelly yard behind my flat, and burnt it. I couldn't bear the thought of anyone without the intellectual rigour to see it for what it is getting their hands on it.