A tonneau can help improve MPG
I always take Mythbusters episodes with a grain of salt. How many different model and configuration types did they test? What was the weight of the tonneau used.... Mythbusters episode reference: http://kwc.org/mythbusters/2006/12/episode_64_more_myths_revisite.html
Their results actually got the same MPG with tailgate up compared to with tonneau cover. Now account for the weight of the tonneau cover being about 100 lbs and you actually had better aerodynamics but that was countered by the weight of the cover. Effect on MPG will also depend on the steadiness of your speed when adding weight - lots of stop and go acceleration will mean greater effect of added weight. Go with a lighter tonneau like lazerlite aluminum (48 lbs) or an ABS cover (60 lbs) and you will not have so much extra weight to haul around and should get better gas mileage.
An example of a good SCIENTIFIC test was done by the Society of Automotive and Aerospace Engineers (SAE): http://ecow.engr.wisc.edu/cgi-bin/getbig/me/363/ghandhi1/pickup.pdf
Their testing shows that other variables make a difference such as crosswind and bed length.
For their testing of pre-2004 model F-150s they found:
1. In most cases a partial box cover (at the rear) or full tonneau gave the best aerodynamics.
2. For the 8' bed standard cab trucks the tailgate down but not removed gave better aerodynamics than with tailgate up. Tailgate off gave better or worse depending on how much crosswind compared to speed. Full tonneau gave the least drag in all conditions (best for MPG). Mesh gate gave the highest drag in all conditions (worst for MPG).
3. For the 6.5' bed super/crew cab trucks the tailgate up gave better aerodynamics than down or off (like Mythbuster results but opposite of 8' bed results). Tonneau covers gave the least drag in all conditions with a partial cover slightly better than a full cover (best for MPG). Tailgate off gave the highest drag (worst MPG).
If you look at the flow models you can see that the difference in Cd occurs after the cab, so you could extrapolate that the bed length difference will be the decider in what method you should go with. The GMC and Toyota tested also support this conclusion with their 6.5' bed trucks having similar results to the Ford 6.5' beds. (Tailgate up is better than tailgate down)
In all cases, a tonneau lowers drag...but you have to account for the weight of the tonneau possibly having a negative effect on MPG. Lesson: if you want improve aerodynamics and lower MPG with a tonneau, pick the lightest available.
Here is more scientific testing by SEMA showing that tonneaus improve aerodynamics: http://www.trucktestdigest.com/PDFfiles/SEMATonneauStudy2007.pdf
Summary of some of their results:
1. Hard tonneaus did better than soft in general with 6.5% or better drag reduction (hard covers) compared to 5% drag reduction (soft covers) at highway speeds.
2. Reduced drag primarily occurs at above 40 mph and the benefit increases up to 65 mph where it levels off.
3. They also mention that the weight of heavy fiberglass covers can negate benefits.
SnugTop manufacturer testing
Yes, I am including a link to a manufacturer's tests.
Their tests show an improvement of MPG with fiberglass tonneaus. Of note, they did their test with cruise control on which would help minimize the effect of additional weight of the cover.