It is, though at least most stores don't have the huge mark-up they once did. Going back a few years, brand new Xbox 360 games were $120 AUS, which even given the value of the Australian dollar against the US dollar, was far more than the $60 US RRP. Steam is still kind of harsh though, as the Australian prices are still in US dollars, but also have a mark-up over the US price. So, we get screwed twice in that regard.
To that end, Penny Arcade pretty much nailed it a few years back: