I wouldn't call it scam since the company is likely legit, but it's definitely not in your best interests to talk to them, especially when they demand to see your electric bill. All they need is your account number and they can switch you over to a new supplier (them) without you even knowing until you get the next bill.
I had someone approach me regarding my natural gas supplier *while I was mowing the yard*. Same spiel, wanted to see my bill to help save me money. I told him that a) I wasn't interested, and, b) I just started to mow the yard and don't plan on stopping to talk to him, but if he wanted to wait an hour or so until I'm done, we can talk. I didn't think about it at the time but I guess he could have called my bluff and waited, but he didn't.
Another thing I despise is that my city gets the bright idea to aggregate electricity supply purchases and you have to opt-out to stay with your current supplier. I tried it once, and, surprise, surprise, my costs went up despite the city saying we should see a reduction. Ever since then, I've made sure to watch my mail to opt out of future opportunities.
