On the 06 HCH, S stands for second gear and L is for low gear (1st), according to the manual, might be different on the older models though. Not sure why they didn't use 1 and 2 like most cars, but my guess is to make it more "futuristic".

Here in Indiana we have had pretty slushy/snowy conditions the last few weeks, and I still seam to get mid 30's in the city, and high 30's on the highway. I never really paid attention to how these conditions effected my mileage in other cars though, and I got the car in November, so its been below freezing for most of my ownership experience. The best mileage I've had was around 42mpg.