most of the manufacturers will tell you that you gain some, but i had one on my last truck and saw no gains either. i hate using that idea as a selling tool, it usually leads to an unhappy customer.
The myth busters did a show on it and determined that the open net worked the best for mpg increase..
Tailgate Up or Down Revisited: Mesh tailgate, hardcover, tailgate removal
See: Tailgate Up or Down
For the original myth they did a driving test and a water vortex test, both of which showed that you save more gas with the tailgate up. Their viewers suggested that they test three new conditions:
Hardroof cover over pickup bed
Mesh tailgate
Remove the entire tailgate
They had a much simpler test setup this time. They had an electronic flowmeter hooked into fuel line of Jamie's pickup. Adam: "For anyone out there that wants to e-mail telling me that we screwed up this test, we have already calibrated this thing, to this car. So it's going to be perfect!" They drove the pickup truck up and down the stretch of 101 around Candlestick and the Cow Palace.
Tailgate down: 5.2 gallons/hr @ 55mph. 1.2 gallons/hr @ 25.
Tailgate up: 5.0 gallons/hr @ 55mph. No reading for 25mph given, but tailgate up was once again confirmed as more efficient.
Hardcover over pickup bed: 5.0 gallons/hr @ 55mph. 1.2 gallons/hr @25mph
Tailgate mesh: 5% more efficient
Tailgate removed: about the same as tailgate up and hardcover
Mesh was most efficient by 5%
Insert from MythBusters - Tailgate Up or Down 2 (from More Myths Revisited) fuel consumption test - YouTube