I have a Lexus IS300 and it gets pretty good gas mileage (35ish on the highway, 25ish in the city), however with rear-wheel drive it's absolute crap in the winter time. And you have to use premium gas which makes it just as expensive as an SUV, so in all reality it's not very practical...but it sure is cute.
In all seriousness though I'd say a Subaru, I've never driven one or actually been in one but everyone I know that has one LOVES them...