That's happening right now in British Columbia, Canada with the natural gas. The pipes are still owned by a company called Terasen, and the price of gas is set by the but you can choose to get the gas from one of many providers or stick with the company that owns the pipes.
However, Terasen is profit-neutral on the gas. They buy their gas in three month intervals from the suppliers, which means that if the price of gas goes up, they have to charge more to stay profit-neutral. The other companies however, can buy gas in bulk, and you can get 1 to 5 year fixed price agreements.
As an aside, I worked as a gas marketer for a few months last summer. It was kind of sad how many people just didn't see the benifit, even when I was able to show them how their natural gas costs have gone up a ridiculous amount in the past few years. From a pdf found through Google: "In 1995, the average annual price of natural gas at Sumas/Huntingdon and Station 2 was under $2.00/GJ; by 2003 the price was over $6.00/GJ, a threefold increase". And the price is just going to keep climbing over the next few years, thanks to natural gas being a non-renewable resource. It would have been nice to get a fixed rate contract back when natural gas was less than $2/GJ!
What I thought was really sad though, was how people 'had heard from a friend that works for Terasen' that the gas marketers were charging more than Terasen. But that's how a fixed rate plan works. The gas marketer gets a deal for several years, and fixes the price. Yes, for the first year, you might be paying more -- as much as $2 or $3 per gigajoule more -- but after that first year, you're saving lots of money. When I was out going door-to-door last summer, the price of gas from Terasen was about $5/GJ. Now ( as of October 1, 2008 ) the price is $7.536/GJ. The 3-year plan my company offered was something like $9/GJ. Now they have five year plans too. Next year, the price will probably be a few bucks more ( gas prices tend to fall a bit in the summer, then jump to a few bucks higher than the previous winter -- non-renewable resource and all that ).
And a lot of companies do this thing where at the end of your contract, if you choose to stay with them, your new contract will be the median between what you were paying and the current price of gas. So if you were on a contract for $10/GJ, and the price of gas had gone up to $16/GJ, you'd only pay $13/GJ on the new contract. Well, the company I worked for did anyways.
And yes, I know. I'm a horrible human being for working as a door-to-door salesman. I was paid on commission only though, and I had to quit after two months because I barely made enough money to pay for gas ( car gas, not natural gas ). So that job didn't totally corrupt my soul. That's what the internet is for!