Myself and one other user have clocked US 39 MPG in X5 diesels.
There is over 400 lbs/ft of torque in the engine, and despite size/weight 0-60 in 6.5sec. Of course, you won't get that mileage if you want to set 0-60 records.
This is the thread with posted MPGs.
http://f15.bimmerpost.com/forums/sho....php?t=1081659
You may want to consider a similar thread in the Z4 area, where users can post their best/worst/usual MPG.