Most expensive horse doesn't finish – bother! (8)
I believe the answer is:
steepest
'most expensive' is the definition.
(steep can mean very expensive)
'horse doesn't finish bother' is the wordplay.
'horse' becomes 'steed' (steed is a kind of horse).
'doesn't finish' means to remove the last letter.
'bother' becomes 'pest' (I've seen this in another clue).
'steed' with its final letter taken off is 'stee'.
'stee'+'pest'='STEEPEST'
(Other definitions for steepest that I've seen before include "With the sharpest incline" , "most severe" , "Most expensive" , "Rising most sharply" , "extremely dear" .)