My character is making a wand of lesser vigor (Spell Compendium 229). The spell has the same level as cure light wounds so I'd expect such a wand to sell for 750 gp eventually. However, I am using a unicorn horn during creation ("If a horn taken from a unicorn that has died of natural causes is used as a component in the casting of any touch spell that has the healing descriptor, it transforms the spell into a ray with a 30 foot range" (Complete Champion 133)). The unicorn horn costs 190 gp, so will my new wand of ray of lesser vigor sell for 940 gp? (Assuming this kind of item creation is legal.)
The Dungeon Master's Guide on Creating Wands says, "Fifty of each needed material component are required, one for each charge" (288), so while the 1st-level Sor/Wiz spell lesser vigor [conj] (Spell Compendium 229) doesn't normally need any material components, power components "can be used even with spells that do not normally have material components[, and like] other material components, they disappear when used to cast a spell" (Complete Champion 131).
Thus this DM, were he to allow a wand's creator to incorporate power components into a magic item would treat them as normal expensive material components, making a wand of lesser vigor (1st-level spell at caster level 1) modified by the power component unicorn horn cost 750 gp plus 9,500 gp (190 gp per unicorn horn power component × 50 charges), or 10,250 gp.
Note that "[e]ach of the power components… must be specially prepared by methods not normally available to player characters" (CC 131), so a source beyond the PCs must be found to acquire the power components. It's not as though the PCs can reap a multitude of unicorn horn power components by, like, starting a unicorn hospice.