I believe this has been discussed before but I found an article on Popular Mechanics that verifies it. You get better fuel mileage with your tail gate up instead of down or removed. You get the worst mileage with a mesh screen in place of the tail gate. Here's the link:
http://popularmechanics.com/automotive/auto_technology/2004/3/04_sae_congress/index5.phtml
http://popularmechanics.com/automotive/auto_technology/2004/3/04_sae_congress/index5.phtml