First off, in some areas it is a regulated market which would prevent them from being able to do so (electricity at least). Second, it would be very expensive for very little gain. It wouldn't scale well and they would have a ton of new infrastructure to support.

On top of that, they would have to compete with companies who already have customers. The electricity market has recently become unregulated in Illinois, and despite being able to save money using a different provider, I haven't switched from ComEd. The reason is that the savings isn't enough for me to justify the time spent actually comparing and seeing if I save and then switching providers. Amazon would be up against this same kind of apathy, which would only occur after they get some sort of infrastructure up and going. Meaning they would have sunk capital into a business for nothing.