The G25 and G37 are first and foremost sport sedans, with traditional underpinnings that prioritize their high-performance driving feel; so it makes sense that they're only about par in this class for fuel-efficiency.
Last year, Infiniti added G25 models to the lineup; while they don't deliver the straight-line performance of the G37 models, they do eke out an extra mile or two per gallon. For either model (the G25 is automatic-only), the seven-speed automatic gets good numbers; G37 models with the manual gearbox are actually the least fuel-efficient, at 17/25.
The somewhat larger M Sedans are offered in a hybrid model that's far more fuel-efficient, without giving up too much performance. The M Hybrid carries EPA ratings of 27 mpg city, 32 highway.