ANY engine mod essentially increases efficiency, however when you've got that extra ability, you generally use it, so in the end, you really don't gain anything. I tried to be as scientific as possible when adding my intake, mostly notice it on the freeway, and the difference is minimal but I'd say 1-2mpg increase. it's not much, but it IS something. Exhaust didn't really show any noteworthy increase or decreas in mileage (even after I got over the thrill of revving it all the time to hear it growl) I've seen a couplefew posts of guys who've done some internal mods as well as camwork and reported increased economy. Again, that kind of thing essentially increses engine efficiency, so it CAN, under similar conditions produce better results (again this all depends on your right foot)
Prettymuch there's 2 main factors "sporty" low gearing which prettymuch every manufacturer uses anymore due to "perception of power" how people will judge a car's power by "being able to pull that hill at the speedlimit in 5th". Aside from that, it's mazda's overly-rich tuning which is what gives our cars such excellent longevity that REALLY shoots you in the foot (or wallette) when it comes to the pumps. Unfortunately, these are pretty expensive things to change, and believe me if I could will my car to grow a 6th gear, it'd have 7 bynow. I'd imagine that taller gearing alone would show an increase of 5mpg on the highway. If you ever go on a long trip and have a couple extra minutes try driving at 55mph instead of 70 and see what happens. As far as leaning out your mixture. mmm... I'd love to have full control. Better mileage, more power, how can you argue with that? of course the couplegrand pricetag is quite prohibitive.
All that being said, we're really pretty well off compared to many other vehicles on the road. Apart form the main things ppl've mentioned, but trust me I know where you're coming from. My civic used to be able to push 40mpg, or as poor as upper-mid 30's. In the end, it's all in driving style.