There is a pretty big difference, you will not get the same mileage as if you are empty, but it should be fairly close. One of the biggest advantages of the decks is the MPG savings over pulling a trailer, not to mention there is less maintenance, no license issues, better for turning around in tight parking areas.
As far as the actual difference in mileage that all depends on the pick up and the trailer style and size. For example I get a lot better mileage with the deck vs. my four place enclosed and I get better mileage with the deck vs. my two place open also.
Sled decks are really coming on in the states, they have been very popular in Canada and even in some of the northern parts of the US. But with he fuel prices and the quality of the decks going up, they are getting more and more pupular every year.