I've tried aircon on and off at a constant speed, looking at the fuel
economy readout on the dash. It's such a small difference that you can't
measure it.

This may vary for a low-powered shopping trolley, though.

It'll depend massively on the car.

On the XM, there's no noticable difference on the fuel computer with aircon
on or off. I rarely use the windows (the driver's door window didn't even
work for about three years).

On the Acadiane, there's about 5kph top speed difference with the driver's
window open. It doesn't have aircon.

Mythbusters tested it some time ago.

No. Nobody has bothered to see. Please perform some tests and report back
with your findings.

Depends on the car of course.  In the Saab the calculated run mpg figures
appear to be 1-2 mpg lower with the air conditioning running, but, I can
vary it by >20 mpg through my driving style.  A crosswind makes 4 - 6 mpg
difference.  1-2 mpg isn't statistically significant...

As for opening the windows, I can't be doing with it myself and it isn't a
like for like test.  Hot, humid, noisy or cool, dry and quiet.  I'll take
the consumption penalty.

Modern stuff is designed for windows closed driving - older stuff wasn't
anywhere near as noisy with the windows down.