NOT FROM EXPERIENCE, but from what I have heard from other people: it really depends on the truck. Many 1st Gen Tacoma owners claim to get better mileage if they take their tailgate OFF. I have heard one or two 2nd Gen Tacoma owners have said that just dropping it has helped them. Most people on here claim that a tonneau cover does not hurt or help their mileage. I have been told from many Ford F-150 owners that the tailgate is not even a question - it still gets the same mileage. My grandfather's 92 Silverado got better mileage without the tailgate. Of course, it got worse mileage after we hooked up the boat.
I am going to go with a tonneau cover for security. My tailgate will get a lock on it. I am not worried about the MPG as much anymore - it is, after all, a truck.