I've been watching an ABA set of Lionel PRR green F3s that have gone week after week with no bids at $850. Someone else had the same set asking an unrealistic $1200 I think it was. They were eventually withdrawn. These are from 2003 and are TMCC only.
Was about to make a trade with the seller who was at $850 when the auction closed when at the last moment someone took the plunge. Frankly I'm surprised that they went for that amount! These aren't particularly hard to find are they? Lionel makes a lot of each item like this.
Legacy F3s, Sharks, PAs', can all often be had for under $500 in AA pairs. Add a non powered B for a buck and a half tops...
What to you guys consider them to be worth please?
Actually, those Pennsy F-3s are newer than that - they were cataloged in 2004 Vol. 2, and didn't come out until 2005. Still, it is surprising that they went for that much; the catalog retail price was $900 when new! I don't know if they're scarce or not, but the seller was extremely fortunate to get the price he did, IMHO. That said, Lionel doesn't make a whole lot of any one thing anymore, particularly relatively expensive sets of engines, and the popular road names can sell out pretty quickly.
The Bay is such a crap shoot, who knows? - someone may have happened to come across those at just a certain time and really had to have them for some reason (they hadn't been reissued in Legacy and were the only game in town, and perhaps he hadn't been able to find a lower price at the time he was looking and assumed that's the best he could do, etc.) or perhaps he was just uninformed about these trains. Sometimes inexperience plays a role. In any case, inexplicable things happen at auction sites sometimes. There's a set on the Bay right now for $1140 or some such, which is out in left field somewhere. I don't know why some people waste their time listing at the prices they do.
I think you're being a little low in saying Legacy F-3s, PAs and Sharks (A-A sets) go for under $500. It seems around $600 is more the norm, unless the road name isn't a popular one. I saw an AA set of older Legacy F-7s in a popular road name get bid up to $735 last week. But some of the poorer sellers can get down under $500.
If you can't wait for Legacy Pennsy F-3s or F-7s (of course, who knows when they may come out - could be years), as between the K-Lines and Lionels, personally I'd lean toward the Lionels (although I have an ABA set of K-Line F-3s and like them a lot). As has been mentioned, the K-Line sounds can't compare with Lionel's, and they don't have cruise so you'd have to invest in that. Note that these Lionel Pennsys also have the later, improved version of Odyssey (with the on/off switch).
Another thing that comes to mind is lighting. The lights on my K-Line F-3s are pretty dim. I plan to replace them with brighter, longer lasting LEDs at some point. The Lionel Pennsys are already equipped with LEDs. There's also a lot of detail on the scale Lionel F-3s, more than on the K-Line (based on the examples of each that I own).
One additional thing that would concern me a little is that K-Line isn't in business anymore. There is no parts or service support from the company, obviously. While some parts are available (at least for now), many are not. I'm not sure I'd be overly concerned with this, but it is a factor to consider.
As to a fair price on these Lionel Pennsys, of course it depends on how bad you want them, and how soon. And it depends on the examples that come up, how often and how much, so you can judge the market. To me (just my opinion), I'd say $475 for the ABA would be a very good buy, $500-575 wouldn't be a bad price, and the more it gets over $600 the more questionable it becomes. Then again, the justification game that's played by many is (for example) that $650 is only $100 more than $550, and when buying upper end O gauge trains, what's $100? You'll have to decide that one. 
