In almost all cases, a 2wd vehicle will get better miles per gallon for cars. There are a number of different reasons for the difference in fuel efficiency. Four wheel drive vehicles tend to ride higher than two wheel drive vehicles, which creates additional drag. This affects your mpg rating. Four wheel drive vehicles are heavier as well, which again, decreases the mpg of the car. Higher torque drivetrains result in loss of miles per gallon too. When driving a car that allows you to choose between two wheel drive and four wheel drive, it is best to keep it in two wheel drive, unless road conditions require four wheel drive.
For more info, see Used Cars & Gas Mileage: Which Models are the Best