Is there an ETF that very closely tracks the price of gasoline? In lieu of that, which ETF best tracks the price of crude oil?
There is no ETF that closely tracks oil or gasoline. This is because all existing oil and gasoline ETFs hold futures contracts or other derivatives. Storing the oil and gasoline would be prohibitively costly.
Futures contracts are prone to contango and backwardation, sometimes resulting in large deviations from the price of the physical commodity.
Contrast oil ETFs with metal ETFs, which track nicely.
Do not buy any commodity tracking ETF without reading and understanding the prospectus. Some of these things get exposure to the underlying commodity via swaps or other hocus-pocus derivatives, so you're really buying credit obligations from some bank. Others are futures based, and you need to understand your potential upside AND downside.
If you think that oil prices are going to continue to rise, you should look into sector funds, or better yet individual stocks that are in the oil or associated businesses. Alternatively, look at alternative investments like natural gas producers or pipeline operators.
UNG United States Natural Gas Fund Natural Gas
USO United States Oil Fund West Texas Intermediate Crude Oil
UGA United States Gasoline Fund Gasoline
DBO PowerShares DB Oil Fund West Texas Intermediate Crude Oil
UHN United States Heating Oil Fund Heating Oil
I believe these are as close as you'd get. I'd avoid the double return flavors as they do not track well at all.
Update - I understand James' issue. An unmanaged single commodity ETF (for which it's impractical to take delivery and store) is always going to lag the spot price rise over time.
And therefore, the claims of the ETF issuer aside, these products will almost certain fail over time. As shown above, When my underlying asset rises 50%, and I see 24% return, I'm not happy. Gold doesn't have this effect as the ETF GLD just buys gold, you can't really do that with oil.