I found this site while I was also making a decision between 16's and 15's rims.
Answers.com - Does rim or tire size change mileage
To sum it up: "Therefore, if a car is used primarily for highway driving, overall MPG may improve with larger tires. For city driving, with lots of starts from dead stops, MPG may get worse with a larger tire. This has a lot to do with transmission design, where vehicle manufacturers gear the cars for a good blend of city/highway fuel economy, also based upon the power sweet spot of the engine (and tire size!). However, for cars used for a lot of highway driving, significantly better MPG may be achieved by gearing the transmission to use lower engine rpm's at highway speeds. (Especially with diesels). But regearing, if even possible, costs a lot of money. Increasing tire size is a cheap way of doing the same thing. A bigger tire will go farther distance during one revolution, meaning you need less engine rpm's to turn it."
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Answers.com - Does rim or tire size change mileage