Station wagon mpg stacks up pretty well against most regular sedans. If you are comparing a station wagon to a hybrid vehicle, the hybrid will win every time, and by quite a big margin. Though, the gap is much smaller with a normal sedan. A 2010 VW Jetta Sport Wagon gets almost 33 mpg, which matches or beats the majority of sedans. The Audi and Subaru clock in around 25mpg, which is quite respectable. In comparison, the most fuel efficient sedan that is not a hybrid, is a VW Jetta TDI which gets 34 mpg. Modern station wagons and SUV’s have been engineered to be very economical on fuel.
For more info, see What are the Best Used Station Wagons