I agree, it is a bit pricey but the quality you get is just top of the line. We got my son's set more than 5 years ago and are still using it (for my daughter, now!). The service was great - they even gave us a good deal on a wooden toy box that was a floor model. We bought a set that grows with your child - a convertable crib/bed and dresser set.
When my daughter was born, we passed that set down to her and began shopping for a new set for my son. When we found it we talked to The Baby's Room and they were able to knock more than $1,000 off the price that another store gave us!