Do you think gas is expensive?
According to US Energy Information Administration (EIA) , the December 2009 Euro-27 zone retail prices for premium (95) gasoline were about $7/gallon compared to a slightly less than $3/gallon in the US. Interestingly enough, the diesel (=’automotive oil’) prices in the US were close to $3/gallon but on average about $6/gallon in Europe.
What stands behind the two differences? The main difference between the price in gasoline in the Eurozone and the USA has to do with policy, namely taxes. In the US, the December 2009 retail prices comprised of about 17% tax on diesel and about 15% taxes on gasoline with remaining 12/11% to marketing, 8/7% on refining and 63/67% to crude oil prices for diesel/gasoline respectively.[2,3]
The two taxes levied on gasoline in the US are federal at 21.7c/gallon and state taxes averaging at 18.4c/gallon (beginning of year 2009). However, on diesel, the federal excise tax is 24.4c/gallon and state taxes averaged about 22.0c/gallon (in 2008), both higher.  The EIA says that since Sept 2004, diesel prices have been in general higher than gasoline price because of increasing world demand and strong demand in China, EU, and the USA. The diesel price was also affected by transition to ultra-low sulfur diesel .
Situation in Europe is different with diesel taxes accounting about 50% and gasoline taxes about 60% (in 2008) of the consumer retail price (price at the pump) . This translates to extra $3 and $4.2/gallon of diesel and gasoline respectively. I am not sure why the lower average tax rate on diesel, but I speculate it is due its historical predominance in use for agriculture and construction industry. Historically, diesel has been cheaper than gasoline although the price difference is shrinking.
Note, that in EU there is a excise tax and VAT. VAT is % derived from price, so as the underlying price of crude oil increases, VAT will amplify this increase. Moreover, there is a tax minimum of 0.359/L_gasoline and 0.302EUR/L_diesel  (2006 numbers; almost same as US tax per gallon, a factor of almost 4x difference), while European bureacrats are trying to level off fuel price differences between countries to avoid unecological “fuel tourism”. As prices are unlikely to decrease in such a plan, this will mean yet higher gas and diesel prices overall.
What may be surprising is that the average tax rate for heating gas oil in EU is about 28%, almost half of that for gasoline and diesel which is reflected in its lower price varying by the country, between $3-4 per gallon, much closer to US $3/gallon (I did not find the tax rate on heating oil in the US). A remarkable exception is Italy, where heating oil costs about the same as diesel, $6/gallon . Since in Italy, the heating oil tax is about $55%, it explains the high price there, although not the relatively low price given 56% tax rate in the Netherlands .
Closing comments – It is important to realize that the price comparisons between US and EU are influenced by EUR/USD exchange rate which has fluctuated between lows of ~1:1 in 2000 to highs of ~1:1.5 in the past decade.
What do you think would happen in the US were the Federal government to double or triple taxes on diesel and gasoline?
 European Commision, Energy. Evolution of oil and petroleum product prices and taxation levels during the year 2008 in the EU, http://ec.europa.eu/energy/observatory/oil/prices_en.htm