Arabian Nights
Sir Richard F. Burton's seminal Arabian Nights is always the book which comes to my mind as the classic example of the "story within a story" framework, and I've been on the lookout for a complete set for several years now. It is pretty easy to find an edition which is a selection from, and which usually covers those stories which we all learned as kids. The Burton Club has privately printed editions of a 16 volume set since around 1900 -- each print run was different in coloration and end papers -- but those aren't cheap. Not to mention the whole complication of actually finding a set. I even toyed with the idea of buying them piecemeal as I found them and completely discounting the necessity of a proper set but that would just mean that some poor bastard (well, 16 of them) would wind up with incomplete sets. Additionally, the 16 volume set contains a number of notes and annotatinos by Burton himself, which would seem to be worth reading as well.
I stumbled upon a Heritage Press edition from 1934 at Culpepper Books today while visiting the public library (who had very dutifully stepped up and filled all of my requests for the books on the list from a few days ago). The complete translation, notes, and terminal essay by Burton himself in three slipcased volumes with 1001 (naturally) decorations by Valenti Angelo.
This set has certainly appeased the treasure hunter in me. The idea of actually reading all 1001 tales is daunting me now. It's only what? three years if I do one a night. Guess I'd better get started. Well, after I get through the stack of eleven books which the public library will want back in three weeks.