The Jeep ones definitely do. I've cleared a CEL that way before, and the Jeep definitely runs differently for a bit after a battery disconnect until the PCM relearns.
As far as mpg, in many cases, it's a matter of "New Muffler = Heavier Foot".
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Call me crazy, but I actually try for mpg with this Jeep:
Typical driving: Back in Rochester for school, driving is 60 - 70% city
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