The method used to estimate fuel economy ratings changed in 2008, but it still doesn't reflect the actual mileage you'll get when you drive your truck -- and never will, since vehicles aren't tested in the real world and because everyone's driving habits differ. But comparing ratings within a class gives you a good idea which vehicles in that category performed best. With the cost of gas where it is, fuel economy is an important feature to consider when it's time to buy a truck.
The Ford Ranger truck tops the EPA's light truck fuel economy ratings list (along with its relative, the Mazda B2300. The higher mileage Ranger might not have all of the other features you're looking for, but if fuel savings is your goal, it's worth a look.
You can buy a basic 2WD Tacoma truck that gets pretty decent gas mileage. Go for either more options or a 4WD truck and you'll find that mileage estimates drop dramatically -- something that's not unusual for any vehicle.
Chevy gave the Colorado a power boost in 2008 by adding two new engines. Fuel economy ratings went down somewhat, but the decline had more to do with the new testing system than it did the new engine choices.
Fuel economy ratings for the Nissan Frontier are significantly less than for some of the other mid-size trucks. If the Frontier has the features you're looking for, you might decide you can live with the lower ratings.