The $5,000 price tag is quite a bit steep, but that's because Skybotix's CoaX drone is decked out for research and educational purposes. Check out this writeup of all its onboard gear:
The CoaX contains an integrated Inertial Measurement Unit (IMU), a pressure sensor, a down-looking sonar, three side looking sonar and a color camera. To communicate with the world, the robot has a Bluetooth (or ZigBee) module and a optional WiFi module. It can also be controlled via a 2.4GHz remote control. The CoaX contains two DSPs (dsPIC33). One is used for sensor data-fusion and the second one for control and communication. Additionally, the CoaX supports the Overo series of tiny computers from Gumstix (optional).
If you're involved in research or want a drone that can do it all and aren't terribly concerned with speed, this is a good (if pricey) choice.