As a county it's Buckinghamshire. The most expensive town is Gerrards Cross (Bucks) where the average house price is £713,000, next is the London borough of Chelsea and Westminster.
http://news.bbc.co.uk/1/hi/business/6090972.stm
Until very recently Surrey was the most expensive county but house prices have been falling whereas in Bucks they've remained steady. Average house price in Bucks is £342,000, Surrey is £340,000, Greater London is £322,000.