Mythbusters solved this question quite well the other day.

I'm not one that keeps a car washed and waxed all the time and I somehow knew washing and waxing never improved my mileage. I wasn't aware that a dirty car improved mileage until I saw mythbusters the other night. I've been putting off washing my '09 FEH because a month or so ago I was ask to be in a documentary on Hypermiling the BMW X6 ActiveHybrid. German Vox TV said they wanted to include footage of me and my '09 FEH so I put off washing it till I had to drive to Miami for the shooting on 11/6/09. The FEH got real dirty during this time but my mileage was increasing. About 3pm on 11/5/09 I took the FEH to the car wash and had it detailed and hand waxed. Since that time I noticed a decrease in MPG of about 10%. I've never noticed that big of a drop in just washing the FEH but waxing it really made a difference for the worst. No question in my mind that a dirty FEH gets better mileage than a waxed FEH.

The '09 FEH is slowly getting back to normal now that a layer of road dirt and dust is starting to coat the wax. How strange is this!