My anecdata:
1994 F-150: Better mileage with the windows closed. The AC doesn't work, but setting the HVAC to vent cools things down acceptably in about 70 degree ambient. Warmer than that, roll down the windows, open the wing windows and the rear slider, cools down in a hurry while moving. The added aerodynamic drag certainly shows up, dropping mpg by 2 or 3.
2002 Focus wagon: Better mileage with AC on, and recirculating. The AC seemed kinda weak, and I kept it on recirculating to have some sort of effectiveness. Wagon had more interior area than the rest, and probably not much in the way of insulation.
2003 Windstar: Only the 2 front door windows and the rear quarter windows open, the rear quarter windows don't open very far. So AC is required. Still gets around 20 mpg highway.