As a high horsepower industrial engine service training instructor who specializes in turbocharged spark ignited engines, I will add a few engineering related things to the discussion of fuel economy.
The measure of an engines efficiency is called brake specific fuel consumption (BSFC), which in simple terms is how much fuel heat energy is consumed per hp produced over time. All of the engine mods mentioned (CAI, exhaust, etc) will slightly decrease the engines BSFC by improving breathing efficiency, resulting in a marginal improvement in economy. Anything which can be done to decrease the pressure drop of the air into the cylinder will decrease BSFC. Include the throttle angle in this consideration, which is why overdrive and lower numerical gear ratios increase fuel economy - the lower rpm means the throttle has to open more to carry the same load, which decreases pressure drop into the cylinders and decreases BSFC. I can provide the math and dyno results behind the concept if needed.
However, a vehicle which has been modified for (or originally designed by the OEM for) off road use, is by nature going to consume a lot of fuel compared to a passenger car when driving down the highway simply because it takes more horsepower to do the same job. 4wd drivetrains are inefficient and consume hp due to all the shafts, gears, hypoid gear differentials, large tires, etc. Boxy utilitarian bodies, very tall stance, RTT's, and exposed suspension and undercarriage are horribly unaerodynamic. Strong frame, body, suspension components, etc are very heavy. Off road vehicle = high hp required to push the vehicle down the highway at 75mph. Probably 2 to 3 times as much as a typical passenger car, which means 1/2 to 1/3 the fuel economy.
A naturally aspirated, low compression, old technology engine like the Nissan VG33E in a heavy, high stance 33" tired Xterra is just never going to produce 20mpg running down the highway at 75mph. There simply isn't anything easy and inexpensive which can be done to make it better. A light foot on the throttle is the only possibility - by not asking the vehicle to accelerate quickly, the hp demand is decreased, and thus economy will show the most substantial gains. Slowing down the highway speed decreases the aerodynamic drag, thus hp demand is lowered, so better economy results.
Why do we put up with crappy fuel economy in an off road vehicle? Because a passenger car cant go the places, traverse the rough terrain, and haul the camping gear into the backcountry. Thats all there is to it.
There's no such thing as a free lunch.