Given that value for money is in the title, in recent history that will rule out any British players...
I'd agree about Schmeichel and Cantona, however, I seem to remember that Roy Keane went from Forest to Man Utd for around the £3.5m mark? Given how important he was, that's got to be considered a bargain...
I guess we've all got a personal viewpoint with the clubs that we support, so Paolo Di Canio would be high up on my list, got him for next to nothing as old 'arry was the only one that wanted to take a punt on him (I would have paid ten times what we did given the way he mugged Barthez in that FA Cup game

)
I would also say Gianfranco Zola, who was an absolute little genius.
And in terms of making a profit - Michael Carrick from West Ham to Tottenham
As for Henry, £11m in 1999 was a truckload of money - no doubting his importance or ability, but I think the OP was really after some proper bargains...