At least with Subaru, traction control simply cuts fuel, so inexperienced drivers can regain traction after they lose it by applying too much throttle. For an experienced driver traction control can be a nuisance, especially in instances where the tire needs to "shovel" through deeper snow.
Subaru's Vehicle Dynamics Control (VDC) system is what tries to maintain the car on a proper course, which it does by strategic brake application.
In my very limited auto-cross experience (only a half dozen runs in my previous car, '08 STI) I was able to get my best time with traction control turned off (this should be obvious) and VDC left on. It was most likely due to my inexperience that allowing the STI's VDC algorithms to input braking helped my time, but who knows. With the VDC off the car seemed to have wonkier handling at the limit of traction, which was very hard to do. For normal driving, even when having fun on a back road, I'd imagine the VDC kicked in almost never, except on loose gravel roads.
So, if you drive on the highway or in instances where traction is never lost then neither system should affect mileage. In instances where traction is or could be lost, having those systems enabled is probably the smartest choice, since safety should be your priority over the miniscule, if any MPG gain you might experience by turning the systems off.