The 2014 Mazda CX-5 has impressive EPA ratings, with Combined ratings of 29 mpg for most of the 2.0-liter models and only about 1 mpg less for the 2.5-liter models.
If you order the CX-5 Sport with the six-speed manual, you'll get a slightly higher highway rating (35 mpg vs 32 mpg) than with the six-speed automatic, but both versions get the same 26-mpg city rating.
Adding all-wheel drive (available only with the automatic) imposes a slight penalty: It's rated at 25 mpg city, 31 mpg highway, for a combined rating of 28 mpg--perhaps even better comparatively for compact crossovers with all-wheel drive.
And from all of Mazda's engineering effort, the biggest payoff might just be in real-world mileage. Over a 260-mile drive route that we're familiar with, a 2013 2.0-liter CX-5 returned an excellent 33 mpg--several miles per gallon better than we've seen from competing models. And as for the new 2.5-liter models, over a couple of hours and 75 miles or so of blasting down backroads and suburban boulevards between Texas hill country and Austin, we managed to average more than 26 mpg overall—also definitely better than we're accustomed to in this class.
If you're holding out for even better, it might be wise to wait one more model year. Mazda will likely introduce a 2.2-liter diesel engine for 2015; expect that engine to push highway mileage into the upper 30s, with acceleration likely faster than with the 2.5-liter.