That is probably why I never bought a PS3 retail game (and few blu-rays) in Denmark, especially since we have easy access to UK (and the canal islands) prices. I even import from Hong Kong from time to time, and if they get caught by the post office, the company accepts that it will be returned and they send another one.
On topic: In the US, PSN has started to accept competition on its own Store (sounds weird, but apparently Sony likes competition) from Amazon, where you essentially buy a redeem-key. I would hope it would spread to the rest of the world, as a freer market for digital downloads sounds promising (for getting more fair pricing), but it would probably mean a different PSN setup as we are used to (like accessing several stores, and Sony might be the market handler).