What I've done so far:
Higher tire pressure (44-50psi)
Installed a kill switch on the injector ground wire, so I can coast with the engine off (down hills, to stop lights, etc) without turning off the headlights. The brake booster works for 3 pushes of the pedal, after that I bump-start the engine to refill it. On long down-grades I leave it in gear.
Removed the clutching fan, kept the electric fan
Covered up the lower grill opening with coroplast for the winter
Upgraded to a heated O2 sensor
Put a potentiometer in parallel with the coolant temp sensor to trick the engine into thinking it's warmer, which reduces cold startup enrichment
Removed the power steering pump, drained & capped the lines (it's not that difficult to park it). Put a shorter belt on, removed the AC belt.
Removed the AC fuse so I can run the windshield defogger without turning on the AC. I put it back in during the summer.
Removed passenger side mirror. Tests show these are ~1% each. Installed a wide-angle rearview mirror, but if the car is full of gear, I really miss the right sideview. Looking into lower-profile mirrors.
Swapped out the hubcaps for some 4-slots from '86, and filled the slots in with coroplast.
Moved the front turn signals flush with the bumper (better visibility at intersections, too - they used to be buried)
Synthetic oil in the engine, tranny, and rear diff
Installed a vacuum gauge to monitor engine load, and to avoid "flooring it". Keep the needle above 2 to avoid open-loop enrichment.
My next big project will be a front bellypan, similar to this: http://autospeed.com/cms/A_2456/article.html
There's a general list of mods here:
Ecomodder.com
The biggest change you can make is in your driving style. Avoid idling, combine trips to keep the car warm, etc.
Driving Techniques