The only place I've ever found it to be a massive rip-off is regretably Stateside. The CDW at USD20-26 per day is a killer - and unavoidable if you're not a local and have no local car insurance to fall back on.
I have heard of a recent insurance offer whereby you can pay something like AUD150.00 per year and be covered for CDW overseas. Sounds like a good plan to me !!

Chris - good to see you are still around mate.
Cheers.