Mythbusters actually tested this. I don't remember the details but I believe they did two different tests. In one test, the A/C proved to be far more efficient, in the other, the windows won but only by less than 1 MPG. I believe the difference between the tests was speed. They had two identical Ford Expeditions with exactly the same amount of fuel driving the exact same speed (cruise control) until they ran out of gas. I'd say that was a pretty thorough test.
I hate driving with the windows down. A/C is much more pleasant. Now if only my car had A/C...
To add to that, the other family car, a 95 Civic, has A/C and we drove to Death Valley a couple years ago with the A/C on 99% of the time. We averaged nearly 42 MPG the entire time, with an automatic transmission.