Leah, in the end, it all comes back to supply and demand. Some small stamp-issuing entities are very popular, but have very little use for stamps.
Take the case of Pitcairn Island, which has quite a following. Pitcairn has a population of around 50, and no local mail service. (Why would you bother?) This means that the only source of used stamps from Pitcairn is from mail from the island, or stamps cancelled specifically for collectors.
Another case, much closer to my heart: the Indian State of Barwani. (Don't worry if you've never heard of it; most collectors haven't either

) It had a population of around 150,000, but far fewer than half of the population was actually literate, and so had any use for mail. The stamps of Barwani were only valid within Barwani; letters going anywhere else in India or the rest of the world required Indian stamps. And, though it pains me to say it, Barwani
was a bit of a backwater. All of this means that used stamps of Barwani are much harder to find than unused (collectors could order
them from the State Post Office), and stamps still on the original envelope

are much scarcer still. (This stamp, the second ¼ Anna of 1921 has a catalogue value of around $50 unused, $250 used, and is worth around $1000 still on the postcard like this).
So, if the supply of used copies of a stamp is lower than the demand for them, the price will rise - and can easily go above the price of the unused. It just all depends.