Actually, ours in TX have finally started to go down per KWH -- they spiked up quite a bit a couple of years ago after deregulation started. It's taken this long for the electricity market here to become competetive. Just in time to go back up again as oil and gas prices go up.
There's really no way to escape this as fuel prices rise except to develop other sources of energy (i.e. nukes) and stop suing power companies and keeping them from building new coal plants (one of our local municipalities recently did this). Supply, capacity, demand and core fuel prices are what set the electricity price. Although I'd love to accuse our suppliers of gouging, this really isn't the case here. We're doing this to ourselves.