The actual cost of gas is actually about the same in US and other western countries, with the major difference being that in almost every other country you pay a hefty extra tax on gas on top of that cost - above and beyond usual sales taxes, often more than the actual gas cost - as means of reducing emissions and/or funding roads. So yes, US has cheaper gas at the pump, but it's not because of market efficiency but because of the differences of government policy to encourage/discourage gas consumption.