As Highly Irregular suggests this very much depends on the specifics of your vehicle, conditions outside of your car and your desired conditions inside your vehicle.
When this question was brought up on skeptics the best evidence we could find was from Mythbusters which visited this topic in both episode 22 and episode 38:
PARTLY CONFIRMED *
Tests were performed under varying conditions (55 mph versus 45 mph). The 55 mph test used a computer to estimate fuel efficiency based on air intake, not actual fuel consumption, and showed A/C was more efficient. The 45 mph test consisted of running the tank until it was empty, and showed open windows were more efficient.
- Because the original tests were inconclusive, this "urban puzzle" was revisited in episode 38: It is more fuel efficient to use air conditioning when the car is travelling approximately 50mph or more. Otherwise, windows are more fuel efficient.
The fundamental flaw in the MythBusters’ test was that the point where the drag becomes powerful enough to inhibit a car’s performance with windows down was inside their 45 – 55mph margin at 50mph. Going less than 50mph it is more efficient to leave your windows down, but going greater than 50mph it is more efficient to use your A/C.
Sadly unless you have the same vehicle, are driving in the same conditions and have the same comfort requirements, this tells you little about your own situation.
I would suggest that the proof of the pudding is in the eating.
Next time you fill up, decide on a strategy and stick to it until your next fill up, then calculate your overall fuel efficiency. Then try a different strategy and see if the efficiency changes. From a series of such tests you can build up a body of empirical evidence about how your own vehicle, preferences and environment interact, and thus find out what is most sustainable for you.