ALLRIGHTY PEOPLE!
It depends on the mod; but if you make it easier for air to enter or exit the engine (intake/exhaust) and you dont change your driving style, then your gas milage gets BETTER. The engine is simply doing less work!
Certain mods, like camming the engine higher (Specially increasing the lift), porting it really huge, mega-short intake runners, or anything that isnt dialed in will definitely decrease fuel economy.
Some mods that give you fuel economy, in some general order;
- Changing your driving habits
- Up your compression ratio and/or reduce blowby (Total Seal-rings ect)
- Intake/Exhaust that isnt gigantic as to loose too much low-end velocity
- Underdrive Pullies
- Thermal barrier coating on the valves/piston-top/combustion-part-of-the-head and/or friction reducing coatings (like piston side-skirts)
- Use a the lightest weight synthetic safe for your heat-range
- Enhancing the ignition (Advanced timing, better spark control, bigger plug gap, better plugs)
- Buy a Prius/Insight/VW TDI
- Reducing rotating mass (Engine internals, flywheel, rims/tires) or weight of the vehicle itself
- DROPING your final drive ratio (Such as going from 4.3 gears to 3.9 gears) so that you are going a lower RPM at any given speed.