The railroads are excellent investments, particularly when owned together, although in absolute income terms they don't keep up with heavily built on properties later in the game. The best return on investment to be found is from putting a third house on New York Avenue. In fact, the third house has the fastest payoff of any building on almost all of the properties. The square most landed on other than Jail is Illinois Avenue, and in fact a hotel there will bring the most income other than a hotel on Boardwalk. By far the worst individual investment is to buy Medeterranean Avenue without first owning Baltic. That's not to say that you shouldn't buy it, but it's not going to make you much money without quite a bit of construction. The properties between the Jail square and the Go To Jail square are landed on the most, because of the jump caused by landing on Go To Jail. The Orange ones have the biggest bang for the buck as far as building goes.All the probabilities were conducted with a long term computer simulation. I suppose this whole thing may seem excessive, but it is quite interesting and nice to know that the orange properties are the best to own and build on. The simulations do not, however, take into account all the shady dealings between players (I'll trade you St. Charles Place, which will give you a monopoly, for Baltic Ave. and 5 free passes on any of your properties) that can be ever-so-crucial to the outcome of the game. [via Bifurcated Rivets]
Probabilities in the Game of Monopoly has all the numbers you could ever possibly need to play Monopoly more efficiently; most probable squares, how long it takes for investments to pay off, which properties are better to mortgage, where to build hotels, which squares get landed on first.