This is one of those eternal questions that doesn't seem to get a concrete answer. Here is a summary of some tests to look at, though: Fact or Fable: Fresh Air vs Air Conditioning. Here's part of their conclusion: "The evaluations by three different organizations produced different results, however all agree that, when driving in stop-and-go traffic, it is more fuel efficient to leave the windows down and air conditioner off...The bottom line—it may not be worth suffering through a heat soaked, uncomfortable drive that may not save you significant gas mileage, especially when you have passengers in the car."
I Have a 2001 Honda Accord, the AC really sucks the power, I think my car must be the worst case for FE loss at ~3 MPG. I think manufactures need to find more efficient ways of cooling the interior of the car, like low-e glass (and make it available to the after market too), and better lighter insilation...
Although they're not exactly a... gov't recognized testing company, Mythbusters did a test on this a couple of years ago. They took a couple of SUVs and ran them with the windows up/AC on, and windows down/AC off at varying speeds. I think they ran the trucks around a race track, and just waited until the gas ran out. They filled them up equally with something like a gallon of gas, and let 'em go. The first truck to die would mean it was less efficient. The major problem with this is that even though they used identical trucks, they could get different results just on THAT aspect. But it was close enough I guess.
Their results were that in lower speeds, its better to have the AC off, windows down. Higher speeds was the opposite. Unless I'm mistaking one show for another, their reason that when the air comes into the back of the car, the air pushes against the back window within the cab, which makes the car work that much harder. Fact is that the faster you go, the more friction comes against the car proportionately. This means the faster you go, the harder the car has to push to get through the air. With aerodynamics in mind, with the windows up, the air has a `smoother` surface to run across and won't push against the car as much. With the windows down, the air gets into the cab then pushes against the back window, which makes the car have to work harder.
So AC on or off, highway speeds, windows up. In town driving, weigh the cost of saving gas against a disgruntled passenger.
I have tested my 02 Q45 and a previous 99 XJ Vandan Plaus Jag. Sraight level stretch of Texas hwy. Windows up & A/C on - Windows down. bth cars have internal mpg information systems. At same point I cleared the mpg and ran the test at 65 for 3 miles. The jag dropped 4mpg with windows down. The Q dropped 3.6 mpg with windows down. Both cars have strong V8s. jag 4L at 290hp Q 4.5L at 340hp. So the /c really doesnt 'pull' on the engine.