Figures for every week for the past 10 years, in US$, for Belgium, France, Italy, Germany, Netherlands, UK & USA are here:
http://www.eia.doe.gov/emeu/international/gas1.html
This list is nearly 2 years old but it covers far more countries and still gives a good indication of relative prices:
http://money.cnn.com/pf/features/lists/global_gasprices/ price.html
This site, dated October 2005, covers 8 countries (including the UK). It's particularly useful because it shows clearly that most of the worldwide variations are due to taxes rather than variations in the basic price of fuel:
http://www.petro-canada.ca/eng/prodserv/fuels/11425.htm
Hoping these help,
Chris