If you live on or near a state border, gas up at the cheaper state!
Currently, most Rhode Island gas stations are going $3.99-4.09 a gallon (give or take that stupid 9/10 of a cent you see on the signs). I gassed up in Massachusetts at $3.89 a gallon.
This serves to be even more effective if you're on the Connecticut-Massachusetts line, as Connecticut's gas prices are usually about 20 cents higher per gallon than Rhode Island.
Incidentally, Rich at Catholic Lite mentioned hypermiling in a combox of an earlier post of mine on this topic. It involves good use of your cruise control, if you have one.