On many new cars, even the smaller 4-bangers, this is no longer the case. Review the mileage estimates, often the automatics get better mileage. The current Ford Fiesta shows the automatic and manual to be identical in the city (29 MPG), but the automatic gets 1 or 2 MPG better on the highway 39 (or 40 for the SFE package) for the automatic vs 38 for the manual.
Depends on the gearing for each vehicle. I've always found I get better than EPA mileage on a manual and worse on an auto. YMMV.
Guess it depends on the make and model. A VW Jetta S the manual does better on the highway, the auto in the city. For a Jetta TDI manual wins both.