Most people simply wouldn't care enough about finding the absolute cost minimising option. Instead, their estimation of the value would be pegged to the price they already pay, and as long as it doesn't rise too rapidly from this baseline, they will continue to think they have scored a good deal. Unfortunately, people don't maximise their utility subject to budget constraints. Instead, I (and others) suspect they pick a product, and mould their preferences around it.
Tom alludes to this in his mention of meta-information markets. If people don't know about the primary information markets, this is probably because they don't have enough of an impetus to look for it rather than the lack of secondary information markets. These would only spark a somewhat postmodern recursion of meta-markets, where we need to be informed about the information that we could use to inform ourselves....ad infinitum.
I think market failure arises here due to a divergence between the rational man of economic theory and the actual man paying power bills.