Whether or not they improve fuel economy depends on who you talk to and if they are trying to sell you something.
I saw an independent study several years ago, but can't find the link to it. Their results were basically that tailgate down with no cap is the worst, a fastback shell (think Prius hatchback) is the best, and conventional caps are somewhere in the middle, along with no cap at all.
Weight is a factor...these things generally add at least 200 pounds to the vehicle. Not a huge issue on the highway, but around town it will drop your mileage a bit.
I've had a few trucks, and have driven them all with and without a cap. Never noticed a difference in fuel economy on the highway. My current truck is the exception...I have a folding canvas cap (think Wrangler soft top), and that probably hurts mileage on the highway since the top of it is not smooth like fiberglass or sheet metal...there's a big bow "peak" in the middle of the top.