This is quite a common grievance for Australian PC gamers who use Valve's online content delivery service, Steam. For some reason, games are priced differently in Australia than in the USA and Europe. This is particularly strange because the games in Australia are priced in US Dollars and we're still charged a currency conversion fee by our credit card companies when we purchase.
This isn't an issue for Valve unfortunately, their own software is always fairly priced regardless of region, but it's the distributors of other games, such as Activision and EA that are unfairly raising our prices. I'll cite an example but it's by no means the only example. Generally if a distributor has priced a game differently in the Australian market, they do it across the board.
Dawn of War 2: Retribution is coming out in a week or so. A lot of people are looking forward to this, as pretty much every previous game in this franchise has been a lot of fun to play. The steam price in the USA for this game is $29.99 USD. If you look at steam from an Australian IP address, or use a credit card that has an Australian billing address, the price is $59.99 USD. This money goes to the same place . . . it is not a matter of games being heavily taxed in Australia, it's just been listed at this price by Steam. Considering you can go into EB Games and purchase the boxed Collecter's Edition (which has a bunch of extra goodies) for $58, what's the incentive of buying a game as a digital download? The whole point was that you save the distributor a whole lot of money in manufacturing and shipping and they pass on the savings. If they're specifically not passing on the savings to Australian customers, but they are to US customers, it smells pretty bad . . .
I'm not really sure what to do about this situation. I considered taking it to the ACCC, but if this is an issue that is between different countries, would they have any jurisdiction? There are some workarounds possible to be able to buy games at their US or European prices . . . the easiest is having a friend who lives in the USA or elsewhere who can "gift" the games to you via Steam.
Another way is to not buy games via steam and use another overseas game shop such as http://www.ozgameshop.com (this shop sells boxed editions of the games, so it depends if you really want your game on Steam or not).
Either way, this is a strange situation to be in, when those of us who wish to purchase computer games legally are being so obviously ripped off . . . especially when it's so amazingly easy to find these same games on Piratebay . . . and if someone's going to so blatantly steal from you, where's the incentive not to steal from them instead?