> Why not do it like other countries and just include one, 
    > final price, which is what comes out of my pocket?

While it would be nice to have the price I see up front match the amount of money that actually leaves my wallet, there's a good reason it doesn't.

In the US, taxes vary by where you are. Your city, county, state, and the federal government can all levy taxes on just about anything they want. The only thing that keeps those entities from constantly raising taxes is that consumers know when a price hike is caused by the business raising its prices versus the local municipality increasing taxes.

If McDonald's wants to sell a burger for $1, it can advertise that price state-wide, and if you end up paying $1.25 in one city and $1.50 in another, that's a signal to citizens where their money is going when they buy the burger.