What about the BMW 328d diesel wagon? Claims 43 MPG highway with AWD. Expensive though, starting at $42,950 (and no stick available).
My JSW TDI gets about 41 in the summer on my commutes back and forth to Truckee and around town trips and in the winter, about 38-39 w. snow sneakers and winter fuel. I am not sure i miss not having awd because unless or was Outbacked/Allroaded with more ground clearance, I don't think I would really gain anything other than a bit less fuel economy turning an awd system the 330 days a year when the awd is not needed.