I asked this exact same question about 3 months ago.
Basically, the answer is NO, like others have said.
The other issue you will run into is several of the mfg'ers are now grossly overstating their MPG's. Go to FUELLY.COM for some real world opinions, or yahoo.com and look at what people say about MPG under the car reviews.
Subaru was probably the best MPG SUV, but it is limited to 3500 lbs or so. For a bigger capacity, say 7000 or 8000 lbs, you will need something like a Suburban, and I would think they might only do in the high teens (just guessing here).
There are several SUV's, with 5000 lb capacities, which achieve in the low 20 mpg's, if that fits your bill.
I am hopeful the new Jeep Cherokee diesel will be better, but it will have top-end price tag when it comes out, plus being a first year production model, do you want to take a chance on this new diesel engine?
