Well, with that much free space, underground power lines just don't make fiscal sense. Europe doesn't have much free space, so they have to go underground.
Think about it: a power line goes down in NA, and you simply send in a crew with an crane truck to go fix it.
A power line somehow goes down in Europe... I can imagine traffic being slowed down for a few weeks.
Power lines are underground only within urban areas. Between cities it just goes over ground, much cheaper to construct and easier to fix. However within urban areas there's not enough space to run them overground, plus running them underground should be both safer and harder to steal from.
The thing about underground power lines is that they only ever go down when someone accidentally hits them during construction, or when one of the step-down stations blows a fuse. Both cases don't happen that often, and we (at least in the Netherlands) very rarely have to deal with power outage.