The EPA just published their MPG ratings for the BMW X3 SUV. Powered by a 2.0L four cylinder turbodiesel, 8 speed automatic trans and AWD, the BMW X3 xDrive28d is rated at 27 city, 34 highway, 30 mpg combined. This makes the X3 the most fuel efficient compact SUV with AWD.
The EPA numbers for the Mercedes GLK250 are marginally lower than the X3, perhaps the result of "only" a 7 speed automatic.
The Subaru XV Crosstrek (2.0L gasoline engine, CVT, AWD) is rated to deliver 29 mpg city, 33 highway, 31 mpg combined. But it's a smaller and lighter vehicle, not really in the same class as the X3 and GLK250. Only half the cost of the German SUVs, too.