Giving back some love to the community, hopefully someone can use it or just some feedback is appreciate.  

Working on 
Umbraco v6.2.4
uCommerce for Umbraco v6.5.3.14350

Features:

• Change user basket currency and show prices in selected currency
• PricingService that handles currency based on fixed product currency price, exchange rate on currency or Google currency calculation feed.

After realizing the different between 

// The default catalog pricegroup
SiteContext.Current.CatalogContext.CurrentCatalog.PriceGroup
SiteContext.Current.CatalogContext.CurrentCatalog.UpdatePriceGroup(pg);

//This is the currenct users pricegroup
SiteContext.Current.CatalogContext.CurrentPriceGroup
UCommerce.Api.CatalogLibrary.ChangePriceGroup(pg,true)

I came up with this

IPricingService - Remember to register this i the Custom.config file ( see below )

using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Net;
using System.Text.RegularExpressions;
using System.Web;
using UCommerce;
using UCommerce.Catalog;
using UCommerce.EntitiesV2;
using UCommerce.Runtime;

namespace YOURPROJECT.Services
{
    public class CurrencyPricingService : IPricingService
    {
        public Money GetProductPrice(Product product, PriceGroup priceGroup)
        {
            // The Default Pricegroup set on the shop ( eg. the one with the price entered )
            var shopPriceGroup = SiteContext.Current.CatalogContext.CurrentCatalog.PriceGroup;

            // The Price of the product in defualt pricegroup - this is the where price is entered in the backend
            var baseprice = product.PriceGroupPrices.FirstOrDefault(x => x.PriceGroup.PriceGroupId == shopPriceGroup.PriceGroupId);

            // Some fallback price.. 
            var fallbackprice = new Money(0, priceGroup.Currency);

            // Get the current requested pricegroup set ( usede CatalogLibrary.ChangePriceGroup(pg, true); to set the user pricegroup )
            var currentprice = product.PriceGroupPrices.FirstOrDefault(x => x.PriceGroup.PriceGroupId == priceGroup.PriceGroupId);

            // If there is a value set in the requred pricegroup return price and currency
            if (currentprice != null && currentprice.Price.HasValue)
            {
                return new Money(currentprice.Price.GetValueOrDefault(), currentprice.PriceGroup.Currency);
            }


            // If the product dont have the baseshop pricegroup set
            if (baseprice == null)
            {
                if (product.IsVariant)
                {
                    return GetProductPrice(product.ParentProduct, priceGroup);
                }

                // Fallback, if this is a product and no baseprise to calc from, we show 0
                return fallbackprice;

            }
            decimal exchangeRateCalculatedPrice = 0;
            // If exchangerate is set to 0, use online exchangerate
            if (priceGroup.Currency.ExchangeRate == 0)
            {
                try
                {
                    // Use google to make lookup
                    exchangeRateCalculatedPrice = Convert(baseprice.Price.Value, baseprice.PriceGroup.Currency.ISOCode, priceGroup.Currency.ISOCode);
                }
                catch(Exception ex)
                {
                    // Service down ? Report somewhere
                    return fallbackprice;
                }
            }
            else
            {
                // Calucate currecy based on ExchangeRate
                    exchangeRateCalculatedPrice = (baseprice.Price.Value / 100) * priceGroup.Currency.ExchangeRate;
            }

            return new Money(exchangeRateCalculatedPrice, priceGroup.Currency);
        }



    public static decimal Convert(decimal amount, string fromCurrency, string toCurrency)
        {
            string apiURL = String.Format("https://www.google.com/finance/converter?a={0}&from={1}&to={2}&meta={3}", amount, fromCurrency, toCurrency, Guid.NewGuid().ToString());

            //Make your Web Request and grab the results
            var request = WebRequest.Create(apiURL);

            //Get the Response
            var streamReader = new StreamReader(request.GetResponse().GetResponseStream(), System.Text.Encoding.ASCII);

            //Grab your converted value (ie 2.45 USD)
            var result = Regex.Matches(streamReader.ReadToEnd(), "<span class=\"?bld\"?>([^<]+)</span>")[0].Groups[1].Value;
            result = result.Split(' ')[0].ToString();
            //Get the Result
            decimal returnvalue = 0;
            decimal.TryParse(result, out returnvalue);
            return returnvalue;
        }
    }
}

Custom.config umbraco/ucommerce/Configuration/Custom.config

//ADD
<component id="PriceService" service="UCommerce.Catalog.IPricingService, UCommerce" type="YOURPROJECT.Services.CurrencyPricingService, YOURPROJECT" />

Somewhere on the site where you what the "change currency" function

var allowedPriceGroups = SiteContext.Current.CatalogContext.CurrentCatalog.AllowedPriceGroups;
var request = HttpContext.Current.Request;

 // Change currency POSTBACK HANDLER
    if (!String.IsNullOrWhiteSpace(request.QueryString["currencyChange"]))
    {
        int pgId = 0;
        //var selectedCurrency = request.QueryString["currencyChange"];

        if (int.TryParse(request.QueryString["currencyChange"], out pgId))
        {
            var pg = allowedPriceGroups.FirstOrDefault(p => p.PriceGroupId.Equals(pgId));

            if (pg != null)
            {
                UCommerce.Api.CatalogLibrary.ChangePriceGroup(pg, true); 

                var order = TransactionLibrary.GetBasket(false);
                order.PurchaseOrder.BillingCurrency = pg.Currency;
                TransactionLibrary.ExecuteBasketPipeline();
                order.Save();

                // Redir without the currencyChange paramter
                // This is done, so that all items are updatede with the new basket, and currency
      // Maybe not needed.
                var nvc = HttpUtility.ParseQueryString(Request.Url.Query);
                nvc.Remove("currencyChange");
                string url = Request.Url.AbsolutePath + "?" + nvc.ToString();
                Response.Redirect(url);
            }
        }
    }

@if(allowedPriceGroups.Count > 1)
{
    <div class="changeCurrency">

        @foreach (var pg in allowedPriceGroups)
        {
            if (SiteContext.Current.CatalogContext.CurrentPriceGroup.PriceGroupId == pg.PriceGroupId)
            {
            <span class="selected">@pg.Name</span>
            }
            else
            {
                var nvc = HttpUtility.ParseQueryString(Request.Url.Query);
                nvc.Add("currencyChange", pg.PriceGroupId.ToString());
                string url = Request.Url.AbsolutePath + "?" + nvc.ToString();
                <span><a href="@url">@pg.Name</a></span>
            }
        }
    </div>
}

Allowing the pricegroup on a catalog enables the pricegroup/currency on the website.

See UCommerce documentation for Pricegroup and currency setup.