Not sure if any of you watch Mythbusters (cool show) but they did an episode on A/C vs. Windows down:
Tests were performed under varying conditions (55 mph versus 45 mph). The 55 mph test used a computer to estimate fuel efficiency based on air intake, not actual fuel consumption, and showed A/C was more efficient. The 45 mph test consisted of running the tank until it was empty, and showed open windows were more efficient. *Because the original tests were inconclusive, this "urban puzzle" was revisited in
episode 38: It is more fuel efficient to use air conditioning when the car is traveling approximately 50mph or more. Otherwise, windows are more fuel efficient.