the bolt on devices are a bunch of crap. here's the way i see it - fuel economy is incredibly important when marketing a vehicle now more than ever. therefore every little extra economy they can squeeze out of their lineup is potentially more sales. so with that in mind if there was a bolt on device out there that really works...why aren't they using it?
oh wait maybe its big oil paying everyone off!! well if you want to believe they'd be bothered paying say GM for lost revenue (more actually, more cars out there mean more advertising) go right ahead. but considering that OPEC can just slow down production to drive up prices when they're not happy sure doesn't make much sense to me. everyone starts using less so they drive up the price. much easier, completely legal and you get more profit without huge payoffs.
anyhow, saving fuel....first is getting the car in good shape. oil changes regularly, spark plugs, ignition wires, dizzy cap (if applicable), oxygen sensor(s), air filter, ignition timing (again if applicable), etc.
now fun stuff. try increasing your tire pressure a little. too much will wear the tires out faster, but a little more gives slightly better FE at the expensive of a slightly rougher ride. if the standard for the car is say 32 psi try 38. just stay within the limits of the sidewall on the tires.
block heaters - even in the summer if you want to go nuts. when the car is cold it wastes more fuel. heat it up faster
weight reduction - when was the last time you use the spare tire? maybe take a can of the sealant stuff and leave your spare at home for in town commuting. remove your a/c if its not working anymore on older cars *make sure to get it evacuated properly, don't vent that crap into the air please!* anything else you can lose?
if you have a belt driven rad fan maybe think of getting an electric and wiring up and thermostat/cutoff switch. just get a fan from the junkyard
going further...i cant confirm but have a suspicion that a lightweight flywheel on manuals would help if driven conservatively.
on rear wheel drive vehicles what about an aluminum driveshaft? theres a lot of shops that would weld one up and fit it for you.
generally think of not increasing horespower but rather 'freeing it up'. unfortunately most performance parts are aimed at burning more fuel - and rightfully so.