I get the best mileage using Chevron in my 96 Prelude.  They use the
highest quality fuel additives, which definitely affects the quality of
the gas and your mileage.  BMW, General Motors, Honda and Toyota got
together and set a standard for what can be called "TOP TIER Gasoline".
Chevron with Techron was already within that standard.

Years ago I would occasionally fill up at a Union 76 station.  Their gas was
about 10% higher priced than the Arco, but I got about 10% better gas
mileage using the Union gasoline.  More energy per gallon, but I never knew
why.

That's way too close to draw any conclusions from. The pump at one
station may be cutting off 1/4-1/3 gallon different than at another station.

It is true that the more ethanol in the gasoline, the poorer the
mileage, and some of the lower end gasolines end up with more ethanol
mixed in, even though it's still less than the legal limit.

It does make a difference, no question.

Shell gives me the lowest cost per mile overall.

Some lean-burn or high compression engines can be picky about the gas.  
The 96 DX has a very basic engine so you're not seeing anything
significant.

They do make a difference. But it can also vary from station to
station,
and also from season to season, as the blends change.
My accord runs better on some brands than others, so I can easily
see mpg being effected. Ethenol gives less energy than gas per
amount also.. But all our fuels here have it at 10%.. :(
We have many brands here, and mine will run on all of them without
pinging. But...I can tell small differences in the feel, pickup,
smoothness,
etc.. IE: Mine runs better on shell, chevron, or texaco, than it does
on
Valero, or diamond shamrock, etc.. I like chevon and texaco cuz
some techron is added. But it runs good on shell too, and might
possibly get the best mpg on shell. It's real close, and hard to
call on the top three choices. But if I go from say chevron to
valero, I can *feel* the difference in the way the car runs.
Slightly less smooth..So I've been trying to stick to the first
three. If fuel injected, using a gas with techron is a real good
idea..Techron is good stuff, and actually does work to clean out
that carbon crud.
MK

Ethanol is a poor substitute to MTBE..  Unless there's another additive
they use I think most use Ethanol to replace MTBE..

Two possible answers; ethanol may give you worse mpg than straight
gasoline.  This isn't true for all cars & driving conditions.  Some
fuel pumps give you more than 1 gallon for every gallon of fuel you
pay for.  Best I've seen is +6 tablespoons (about 2 ounces) based on
the state's measure of proper fuel delivery.  Of course, some fuel
pumps don't give you the amount of gas you paid for- worst I've seen
is -2 tablespoons.  If your state requires this rating, you might
experiment and keep track of mpg based on the rating.