Don't quote me for gospel, I haven't handled a chip higher than a $500, but I think the common denom in that stratosphere is the $20,000.
Atlantic City recently added it to the legislated list of valid chip values - (I think Mustard is the set color). The legal color range, plus the set value is on the NJ Gaming Commission website - I don't have the link handy but I will try and dig it up.
edit - I just had a quick look and it looks like the $25K is also valid in NJ (Gold colored)
http://www.state.nj.us/casinos/actre...19.25kChip.pdf
I can't answer for any other jurisdictions because I don't know of any other jurisdiction with set chip values/colors. I usually like the NJ colors so I don't stray to far from them. I would bet someone else will have some info though.