Define "a lot"? Here in Switzerland at least diesel is more (by about 7%, not a lot). Since most of the cost of fuel here is taxes, I assume the difference between petrol and diesel is also due to differential taxation.
One of the things that has kept diesel out of the USA until recently is the diesel fuel was good enough for heavy trucks to meet truck emissions standards but wasn't good enough for diesel cars to meet car emissions standards. This wasn't the case in the EU for some years because truck emissions standards in EU are more strict and car emissions standards were less strict compared to California. Now that you can get ultra-low sulfur diesel in all 50 US states it is becoming easier to market diesel cars in the USA. But the new fuel standards (since 2010) also make diesel cost more.
And most EU countries(with the stark exception of UK) have diesel a lot cheaper than petrol.