I've been using an application to find gas prices on my Droid for quite a while now. I was very pleased to find it available for our Windows Phone. Gas Buddy has about 10 million downloads on the Droid and I expect it to have a bunch on Windows Phone.
Not only can you find current prices, but it integrates with maps, so if you are in an unfamiliar location, you can get turn by turn voice driving directions through Nokia Drive.