So, Why is Juzam Djinn So Expensive?
Part of what caused Juzam Djinn to skyrocket was the creation of the casual "Old School Magic" format. It uses cards from only 1993 and 1994. While Juzam Djinn isn't the best card in that format, it doesn't keep people from shelling out thousands of dollars on a playset. That's even if you can find enough copies for sale...
Even back in the day, Juzam Djinn was more popular for his incredible Marc Fedin art. By today's standards, Juzam Djinn is very much outclassed. In early Magic, he wasn't exactly a boss monster in the way that Shivan Dragon or Nightmare was. Still, everyone who played Black wanted to have this card.
For 2BB, Juzam Djinn gives you a 5/5 that deals 1 damage to you during each of your up-keeps. In the early days of Magic, this was a really massive creature. So, it was certainly worth taking that 1 extra damage with just how big this guy is. You could often play this guy on Turn 2 with a Dark Ritual. That early in the game, Juzam Djinn was a significant threat. You'd have to play two Lightning Bolts in a row, or deal damage to him in combat and Bolt him for the rest.
The really good removal at the time was Terror, which like Doom Blade, doesn't affect Black creatures. You pretty much needed to cast a Wrath of God to deal with him! Since it was so hard to answer, Juzan Djinn was certainly a big threat in early Magic! While he wasn't the best creature, he was one of the coolest to collect and he certainly was playable.
So, yes, Juzam Djinn is mostly so expensive because he was an early iconic creature, has great art, and is a favorite of serious Old School Magic collectors and players. There simply aren't enough copies on the open market to keep up with the demand. Arabian Nights is understandably a very popular target for high-end Magic collectors, being the first ever expansion set to be released after Alpha, Beta, and Unlimited. It's not the most expensive card in Arabian Nights, but it's up there, and it's still as cool looking as ever.
Have you ever played Juzam Djinn?