As already stated, your probably going to have to roll your own. Scraping for data is one way (also already mentioned) but there are some existing datasets that you can leverage to make your life easier.
These two searches in ESRI's open data portal look fruitful:
Search Open Data ArcGiS for "Gas" and Search Open Data ArcGIS for "Gas Service Areas".
Here's two states right off the bat to lessen the scraping work: Gas Stations in North Carolina and two for New Jersey: Gas Service Stations in NJ, New Jersey Gasoline Service Stations. As well as some data for a region Convenience Stores Gas Stations - UTC GEODATA Portal.
Looking at locality emergency data is another route to find data; New Orleans Gas Stations was in their emergency datasets.
I'd also recommend checking out the EPA's TRI (Toxic Release Inventory), as well as individual states internal departments that deal with environment. For another example, Virginia releases data about buried container leaks, which I've found almost always are gas tanks below gas stations.
Energy.gov and its related websites over some data, but it all looks like you have to do legwork there too:
Viewing EIA's "Other Resources" option under each state's profile is worth a look too; here's Virginia's "Other Resources".
EIA's methodology for Gas/Diesel prices should have the locations, but I don't see them off hand. May also be worthwhile to simply reach out to them: [email protected].
Also: Alternative Fuels Data Center and Alterative Fueling Station Locator
Lastly, Does Waze do this??
Also here is the methodology for Mapping the Best Places to Find the Lowest Gas Prices