the ford escape now comes in hybrid form so if you're looking for an SUV with "good" gas mileage, that'd be your best option. although i wouldn't brag to your friends about it.
forget about any full size SUV like the yukon if you want good gas mileage. you should look into compacts like the escape, cr-v or tribute. even mid-size ones like explorers or blazers can get rather poor mileage.