What is the difference between gasoline in the US and European
countries?  I am aware that Europeans have much higher octane ratings,
but why is this the case?

Hello,

When I was in Europe, I noticed that the octane levels for gasoline
seemed to be about 3 levels higher than in the U.S. (90-95 instead of
87-92). I figured there were EU regulations that required higher
octane levels or something.

Actually, the only difference is the measuring system used. According
to "Bob, the Auto Answer Man" of Dollar Stretcher magazine, the
Europeans use "research octane," while U.S. gas stations use an
average between the research octane and the "motor octane."

Source: "Octane Explained," 2005, http://www.stretcher.com/stories/01/010226m.cfm.

The information is repeated on this BMW owners' club site:

"Chip Tuning Page 1," http://www.homeofsbc.com/Chip_Tuning_1/chip_tuning_1.html.

As well as this site for Volvo owners:

Paul Grimshaw, "Octane Solutions for Older Volvos," 1999,
http://www3.bc.sympatico.ca/Volvo_Books/maint8.html.

I hope this answer meets your needs. If not, please request clarification.

Search strategy:
europe octane
://www.google.ca/search?q=europe+octane&sourceid=mozilla-search&start=0&start=0&ie=utf-8&oe=utf-8&client=firefox-a&rls=org.mozilla:en-US:official

research octane europe
://www.google.ca/search?hs=tM8&hl=en&client=firefox-a&rls=org.mozilla%3Aen-US%3Aofficial&q=research+octane+europe&btnG=Search&meta=