Yes, some of them are worth thousands. Find a mint original Robert Johnson on Vocalion, and you've got a winner ($10K or more).
Also in demand is early jazz. Generally speaking, the most valuable records are by black artists and groups, both for their musical quality and rarity. They tend to be rarer because the blacks couldn't afford to buy many of them, and ones they did, they played to death.
Early white hillbilly records can be very desirable as well.
Rock-a-Billy.