I’ve always loved the idea of seemingly unimportant feelings, memories or trinkets holding immense value for beings outside our understanding- I first encountered the idea in Neil Gaiman’s Neverwhere, possibly the most influential book I’ve ever read*. My fondness for it also deepened with time and understanding of the world. Imagine parting with a memory- an unimportant one, like forgetting a pen one day at school. It’s not a character-forming memory, the whole event being so insignificant that you probably don’t even think about it and would forget it in a few years’ time. But losing it would still take away a part of you and change you in a permanent way (albeit in a very small way).
To a creature feeding off emotion, any memory involving stress, love, liking or hate could be worth a lot. And why would such a creature value a fistful of stones that just happen to be rare in your particular plane of living? Diamonds and rubies could as well be dust as far as it is concerned.

I am reminded of Planescape Torment’s Brothel for Slaking Intellectual Lusts. It’s a place for people willing to experience extreme emotions and situations, like undying love or tragically dying, without (or being unable to) actually going through them. A powerful, rare memory was a valued commodity in such a place.**

How about a being, who would trade you for your ability to feel the roughness of paper on one of your fingers? How about trading in the happiness of drinking fresh spring water? I can imagine a sort of creature that would either pay for it to experience it for itself or just for the satisfaction of depraving you the sensation forever.
Either way, it’s a great concept.

* It also possibly wasn’t- but it’s the book I most clearly remember being influenced by and whose influence I feel and find in my work most often.

**[erratum] – As it has been pointed out, the place I’m describing here was called Sensorium and was located in a different building of the same district. The Brothel (…) was a place where one could entertain oneself by talking to beautiful women. And, if my memory is correct, one wardrobe.