SMD coils are only limited by what's on the market; whatever's out there, is what's out there.
You can make arbitrarily good inductors, give or take how much space you can spare and relative to the wavelength of interest. At most frequencies I think a Q over 1000 or so is rather difficult, using regular metals and insulators.
Also as you go up in Q, sizes get larger and larger, until eventually the component is more like a piece of transmission line or resonator, and the geometry of your circuit overall matters very much (like "plumber's special" designs), so that it's not very meaningful anymore to speak in terms of single components soldered onto pads. Which really shouldn't be a surprise anyway, as maintaining a Q so high is certainly a whole-circuit consideration!
At microwaves, dielectric resonators become interesting, too. Think total internal reflection but at fractional-wavelength scales. They can be very good, but obviously break the "component with pins" concept even further.
Beyond that, you need physics. A transducer to a mechanical resonance, or an electron or nuclear resonance*, or superconductors.
*Although NMR has rather low density to bother with. You can make an oscillator locked to proton resonance, but I don't think you'd make a real signal filter with much over -60dB insertion loss that way. EPR is usable, for example YIG spheres. Note that resonant frequency is proportional to magnetic field, making these useful for variable filters/oscillators but not so much for stable fixed references.
Tim