Before my HCH, I drove a pickup truck. I got better FE (i.e. 16 as opposed to 14 or 15) with the tailgate up. There's a good reason for this that's grounded in physics:

You know that the area immediately behind the cab creates a nice low-pressure zone at speed. The rest of the truck bed is low pressure as well, and at highway speeds, the 'stagnant' air in the truck bed creates a sort of "bubble" of immobile air. The incoming air stream over and around the cab "sees" this still air as a barrier, and largely flows right over it as if it were solid - reaping some of the proven benefits that you get if you have a solid bed cover. If the tailgate is down or a net is in place, this bubble of relatively still air doesn't get a chance to form, and the result is a less aerodynamic rear half of the truck. I had a physics professor in college explain all this to me, and it sure makes sense. Anybody have a wind tunnel?