The increasing demands on energy supply especially for natural gas and oil in the European Unions has made the bargaining power of Russia and Turkey stronger. Just before the raising oil prices, these country played a small part in the "giant" EU political-economic game. However, things turn to be interesting when Russia turns to act as the game - director using its superiority as the major supplier of EU energy. As well as Russia, Turkey's geopolitical advantage as the new East-West energy corridor, bridging the east energy producer and the west consumer, will become a key player actor for EU energy security supply. This paper will examine the European Union Energy Challenges and its dilemma in securing their energy supply.