I don't think it's the country that matters. It's the keyword and how much adwords customers are willing to pay. When you buy ads on adwords they dont give you an option to make other countries pay better...
Of course they do. Adwords advertizers can chose to bid on a keyword while geotargetting. So in some countries you have more competition than others for the same keyword, hence higher CPC in western countries.
right on. I havent used Adwords for a while a while and never seen the option when I did. All my traffic is from US, Canada and UK so I really dont even care. I block most of the other countries anyway cause they always try to hack my site and server.(India,China) I guess it could be useful though for people who target other countries and have traffic from everywhere but I don't and I try to not have my sites seen by other countries.
Naturally russian keywords will most likely have a higher CPC in Russia than in western countries, but for english based keywords I think it has to do with how rich a country's economy is and of course the number of its people who are searching online in the English web.