I read an article in What Car magazine back in September, which I just found on their website:
http://www.whatcar.com/news-special-report.aspx?NA=228253
I have to say, with my 3 litre TDi, I have to agree with their findings.
I do about 2k miles per month (mainly motorway)
Shell V-Power and BP Ultimate don't give me any more miles to the tank.
Nor do I notice anything smoother or better performance.
I have also tried Millers oils for several thousand miles, and that does make a difference - not to fuel economy but I do notice that when I boot it, I leave considerably less air-bourne soot behind!
Premium petrol is a different matter though - both my S4 (2.7 bi-turbo) and M3 (E36 evo) used to be signifcantly better on higher octane fuel.
For example, with the M3 - Shell Optimax (as it was then) gave me an extra 5 or 6 miles to the gallon, and pulled through the rev range with noticeably more urgency. This improvement justified the cost differential.