I'm pretty sure you dont get a choice. Its not phone service. Theres no buttons to push so you can instantly have another line from someone else. They'd have to so some serious pipe work to change your supplier to another company.
Having said that, it seems most Virginians I meet cant stand the freaking cold. This winter I suspect they were using massive amounts of gas for central heating. So even though the gas company is selling more they still have an excuse to raise their rates.
Look at your rates last year this time. I'd bet they were lower.