The most efficient way of handling the "tailgate up or tailgate down" issue is to get a flow-through net style tailgate. This was proven on Mythbusters and the tests were compelling.
In order of efficiency (according to Mythbusters)
1) Flow-through tailgate up (most efficient)
2) Standard tailgate up (efficient)
3) Rigid tonneau cover (less efficient)
4) Tailgate down/removed (least efficient)
The results were consistent that the tailgate being down or removed was the worst for gas mileage. It has to do with friction of air moving over the body of the truck. The more air contacting the truck or anything attached to it, the more gas required to move it forward.
If I recall correctly (and I've watched these two episodes numerous times) with the tailgate down or removed, air is directed down into the bottom of the bed, flowing over that. There's a dramatic drop from the roof of the cab and the sides of the truck into the bed...the air slams into the bottom of the bed and rubs along the bottom before exiting at the lowered/removed tailgate. With the tailgate up, a "pillow" of air forms in the bed and the air rolls right over the top of the tailgate without ever coming into contact with anything but that air pillow. If you put something light in your bed with it open, you can see this floating tendency that it has. That's not to say that it's not going to fly out if a crosswind blows, but what's in the bed is generally held down by that air cushion. With an air gate, the airflow over the "cushion" of air is softer and more gentle, reducing friction slightly.
There was outcry over the first show (this seriously broke an old wives tale that many bought into). They did another show the next season and confirmed everything. In the second test, they added a test of the air gates, which came back as more efficient. They said to save your $1000 on a tonneau cover and buy a $20 air gate of your choice.
I'm 100% behind the Mythbusters theory. It makes sense and produces results you can duplicate.