Of course you can go elsewhere. You can go to your home improvement store and buy insulation and LED bulbs, thereby reducing your consumption.
First off that isn't "going elsewhere". Second off, I've already done that. My house is actually pretty energy efficient. This in no way solves the problem of having a monopoly provider of energy.
You could put solar panels on your rooftop and net meter, thereby bringing your consumption to zero.
So I'm supposed to spend $20,000 (yes I've priced it) to eliminate a $200/month electric bill? That's 8+ years before breakeven at best and I can't be sure I'll live at my current house that long. Furthermore it doesn't take me off the grid. It merely makes me a net zero user. Sometimes I'll still need to tap into the power grid.
You can use oil or gas to heat instead of electric, and you can use gas to cook instead of electric.
I do use gas but where I live the gas utility and the electric utility are the same company. I cannot turn gas into electricity cheaper than the electric company can.
Hell, you could get really feisty like Boulder, CO and try to become a municipal utility, removing your entire city or town from the utility's territory.
Terrific. I trade one monopoly for a different monopoly.
In most or all of CA, TX, ND, SD, MN, WI, IA, IL, IN, MO, MI, OH, PA, NJ, MD, DE, and WV, to be joined by NE, KS, and OK in Mar 2014, the power plants are dispatched by merit. That means only the lowest cost generating stations operate, so they all fight to lower costs, and hence bids, to make sure they get to produce electricity for us and money for themselves.
I live in one of those states and I assure you that NONE of the savings get passed along to me as the consumer. In most places in my state there is one option for gas and one option for electricity. Occasionally the two big power companies compete but not in many places. It doesn't matter at all to me what it costs them to generate the power if I don't get to share in any of the savings. My electric rates don't change just because the cost of natural gas is relatively low at the moment. The only way I would see the benefits would be if I had more than one company with a power line connected to my house. But if that were the case then the cost of distribution would be higher because power utilities tend to me natural monopolies.