Consider gascoins / anti-gascoins.  The problem with pegging a gascoin to a gallon of gas like a futures contract is that the holder of the anti-gascoin (the person who is short one gascoin) has unlimited liability, and he can't place an infinite number of bitcoins into escrow.  (The price of gas can't go below zero, but there's no limit to how high it can go.)  There would have to be some way to manage risk, issue margin calls, etc.

An Intrade-style prediction contract might work better.  For example, a contract might settle at 1 BTC if the price of gas is $5 or greater at the end of the year, or settle at 0 BTC otherwise.  Contracts are created out of nothing whenever a buyer (long) and seller (short) agree on a price.  Maximum escrow is 1 BTC for the short.  Contracts are destroyed whenever a short buys back a contract, or at the time of expiration when all contracts are settled at 1 BTC or 0 BTC.

A small fee on each transaction could keep the miners going.