One of the members here has a website called MetroMPG.com. He did some actual testing on performance filters when used with our driving style. These tests were VERY well done. Check theses out.
Testing a 'performance' air filter for MPG - Part 1 - MetroMPG.com
Testing a 'performance' air filter for MPG - Part 2 - MetroMPG.com
In short it seems to be likely that during our style of driving we do not "suck" enough air, so what filter you use makes no difference.