For example, I'm trying to level up in Baking (just for the fun of it), and noticed that while the official price of a Bag of Sugar is 483 sP, most people are selling it at around 20,000 sP. Is there a particular reason some of these items are so expensive, or is that just the price everyone unofficially settled on?

I ask because I'm setting up my shops, and a part of me is very tempted to just price everything a tiny bit above the official price (rounded up to the nearest 500 or 1000)... but I kind of worry that'd be a rude thing to do to everyone else who is trying to sell the same item (even if I'm unlikely to ever sell more than one or two at a time). Is that kind of pricing considered rude or taboo, or will most players not care than much?

The official price is the price it sells for in the main shops, which is different than user shops. One of the ways of making money on this site is by restocking. To do that, you buy items from the main shops at those low prices and then sell them at the higher user shop prices.

Now not all items are going to be higher priced in user shops than the main shops. It depends on the item's rarity and I'm sure other factors as well. There are some, however, that are drastically higher in price, and those are the kind of items you really want to go for when restocking.

When setting up your shops, you'll want to price it based on the user shop prices. Those are the prices the autopricer uses when autopricing shops, so if you price your items at the lower official price, the autopricer will automatically take that price and price everyone else's shops the same way when they use it, so it messes with other people's prices as well. So if you're looking to sell that bag of sugar, sell it at 20,000 sp.

Actually, the reason why that item is more expensive (in comparison) to other items of similar rarity is the reason why you're trying to buy the item in the first place - a lot of copies get bought up by people trying to level their baking, so it keeps the shop search price a bit higher. :)

You can sell your stuff at whatever price you want. If you're way under priced, you make less sP, but your shop sells out faster and you don't end up with stuff sitting in there endlessly and having to reprice constantly.

Some people do get annoyed, but the vast majority don't care. Do whatever works best for your style of play, time commitment and so forth. I've seen lots of shops that price with the method you mentioned, or something similar.