I reckon the publishers and retail stores are in cahoots here. The publishers set the prices on steam, and they'd have a decent say over brick and mortar pricing too. It's more $$$ for both, and every single retail store in Austraila does it.
Price fixing at it's best.
What's perhaps most obvious are the actual console system prices as you think there's be some price parity between hardware.
160Gb PS3: is
$500 AUD vs
$300 USD.
160GB PlayStation 3 - EB Games Australia
160GB PlayStation 3 - GameStop USA
Yet look at any other hardware market, even Apple or computer components:
Intel Core i5-2500K CPU: $219 AUD (Umart) vs
$225 USD (Newegg)
Which is almost even given the exchange rate:
219 AUD in USD - Google Search
I thought such agreements to fix prices was illegal in some countries, guess it's not here.
Edit: Well lookie here, according to Wikipedia price fixing is illegal in Australia and their description of price fixing seems to describe this situation down to the letter:
http://en.wikipedia.org/wiki/Price_fixing
So you have to wonder why this is still happening, and do we in fact have legal grounds for complaining/campaigning for some kind of change?
I know TOG has a few lawyers in their member ranks, don't know if any of them practice international trade law though, would be nice to hear some other opinions on this. Google-fu and wikipedia only go so far.