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Actually mythbusters found the same - that leaving the tailgate down did NOT improve gas mileage - in fact it made it worse! They did a pretty good study with identical ford trucks and were very scientific about their testing and the truck with the down tailgate ran out of gas first every time. They even used die and water to show the aerodynamics of how it worked out that way and with the tailgate UP it had less drag. Pretty interesting show if you can find it!
Only drive with the wind at your back yup, saw that MB show. It was pretty interesting. If I remember correctly the one with it up only got about a mile more out of the tank than the one with it down. Turbulence in the bed form the tailgate up caused an air bubble sort of and the oncoming air to flow over it and not cause drag.
As well as better mileage with the gate up, I also remember hearing that in the event of a crash, the vehicle may not perform as well without the gate being up. Gate up is how it's designed for crash protection.
I believe I heard that on cartalk so nuff said
Plus the rocks that get thrown up and chip the gate. I do wish MB would have run a test with no tailgate, from their little windtunnel tests it looked like no gate would have been just as good as having it up, the extra 1.5' length with it down seemed to be just enough to screw with the air flow.