With gas price creating a new multi-week high every day, gas station comparison shopping is more worthwhile than ever. I regularly use SeattleGasPrice.com to track the movements in retail gas prices.
The site lists cheapest gas prices in the region by compiling inputs from volunteers who submit gas prices regularly. At least to my area, comparison shopping can immediately shave gas bill by 10% or more. (Of course, you don't need to monitor this site every day: after a while I notice that cheap gas always comes from the same few stations.)
(If you live in a different metro area, try to find your area in one of the dropdown list boxes in the left and it will take you to the gas price tracker for your region.)
Another caveat: the site lists the fuel tax by state. In the case of State of Washington, each gallon of gasoline is subject to 18.4 cents of federal tax and 28 cents of state tax, one of the highest among all states.