The most expensive piece of work by a living artist sold at auction is Benefits Supervisor Sleeping by Lucian Freud (USA), which fetched $33.64 million (£17.27 million) at Christie’s in Manhattan, USA on 13 May 2008.

The buyer was Roman Abramovich, the Russian Billionaire and owner of Chelsea F.C.
Sources:
http://entertainment.timesonline.co.uk/tol/arts_and_entertainment/visual_arts/article3928558.ece
http://news.bbc.co.uk/1/hi/entertainment/7408211.stm