The cost of whichever fuel at the pump is the sum of 5 elements:

- crude oil cost (from extraction to the refining plant)
this is about the same for gas and diesel

- refining cost
this is more complex
let's say I can refine 1 unit of gas for $1
then I can refine 1 unit of gas + 1 unit of diesel for $1.20
but if I only want to refine 1 unit of diesel that'll cost me $0.90

- distribution (from the plant to the pump)
same for gas and diesel

- taxes
in Europe diesel is taxed much less than gas.

- oil companies (and sheik, etc) margin.

Historically, Europe and US have followed different paths.
In Europe taxes were the largest contribution to total price. Diesel, being used mostly for commercial trucks, was not taxed as high. As a consequence, when gas prices shot up in the 70's, European automakers started to push diesel cars.
In the US taxes are lower and diesel and gas cost about the same. As such, diesel engines for private use are still quite exotic.

So the correct answer is that, bar artificial components (taxes and gain margin), diesel and gas cost about the same and are still quite cheap.

Diesel engines give more mileage per fuel unit.
Gas engines are naturally better performing.
Diesel engines generally pollute more.

If you ask me what's the best way to save on gas: get a small car. Smaller engines and smaller cars weigh less. This is the single most important factor in fuel economy. Besides, a small car costs less and you'd save there too. By small, of course, I mean European small: 1 liter or less engine, four seats, gross weight under 1600 lbs., 75 mph top speed.
Why so many feel the need of commuting to work on a 3-liter monstrosity beats me, especially considering that Americans are generally unskilled drivers.