Hoo boy. Ok. here I go. Not done with coffee yet so bear with me.
It is, generally speaking, difficult to gain fuel mileage on a cost effective basis. Meaning sure, you could tear down the engine and put in higher compression pistons to get more *bang* per unit of gasoline - but the increase in efficiency cost you four digits of cash and it's going to be a while before your savings pay you back. So I'll try to keep my thoughts to bolt-on options.
OK, limiting to external mods - it still needs to be said - MPG is not a J20's strong suit. Not any pickup's strong suit, really. I think a brand new Silverado 1500 gets, what, 22 mpg highway? With six speeds, direct injection, variable displacement and variable valve timing, and a front air dam to boot? You are not going to get great mileage from your J20.
Here are a few areas to look at, though.
Ignition - there are a lot of ignition systems used in these Jeeps over the years and I'm no expert. Each of them can and probably should be upgraded. There are a lot of folks selling HEI distributors for these but, IMO, don't. The later year FSJ's used Ford's Duraspark system which is essentially the same but uses over the counter parts. A Duraspark distributor, big cap (off, I think, like a 1990 Ford full-ton with 460 engine) and big cap adapter + TFI ignition coil (high voltage, ford's version of a high-power HEI coil) with decent wires should do the trick. It won't break the bank, either. If you do some google searching around "duraspark swap ifsja", etc, on google you'll learn more than I can tell you off hand.
Air filter - a 14x2 or 14x3 open element paper filter is going to be more than enough. Flat base is better than drop base, if you have the hood clearance.
Synthetic fluids - maybe in theory these will improve mpg but I doubt you'd ever be able to measure the difference.
Fueling - OK - now we are talking. You already said EFI, so let's look at some of the systems floating around out there.
GM / Howell / Hamilton EFI - These and others are all based around the GM throttle body injection system. They all work better than carbs, too, but not as well as more recent designs. There are three reasons here: One, injector count. Two injectors isn't going to distribute fuel among 8 cylinders as well as four or eight injectors can because the manifold itself doesn't get air and fuel distributed perfectly and it wasn't designed for a TBI unit, it was designed for a carb. Two, injector pressure. Higher pressure = more atomized (finer mist) gas. GM TBI operates at 15 psi or so. Later fuel injection systems run at 49 to 60 PSI. Heck, direct injection will blast fuel straight into the combustion chamber at 500 psi. Reason three... I forget what I was going to say.
The other thing to keep in mind about GM TBI systems is that some will control ignition timing, some won't, some use the GM computer (almost all, actually, unless you want to look into Megasquirt. For now, just google it and see if you want to go there) some don't.
OK, so much for GM TBI.
There are also a handful of drop-on, easy to tune EFI systems like Fitech, Holley's Sniper, Summit Racing does a house brand unit, I think there are others I can't think of just now. Basically it looks similar to a 4 barrel carb, bolts down onto a 4 barrel intake, and you bang in a few things on the (provided) handheld controller and put in an oxygen sensor and a high pressure fuel pump and it does the rest. Some of these control ignition timing, some don't. I have no experience here but those who have them seem to like them and it's minimum fussing. They also use four injectors at 58 PSI, which is just plain better hardware than the GM TBI stuff.
If you want to go MPFI on an AMC V8, the big player is Edelbrock. It's not cheap but for something like $2500 they sell you the whole shooting match - injectors, computer, fuel rails, intake manifold, throttle body, etc. There are other kits I've seen online at 2x the price but I won't bother mentioning them further because they are 2x the price.
If you think Megasquirt sounds fun, you can put together a system that will control ignition timing, use LS1 style coils and injection, etc - but prepare to put some time into it.
OK. enough EFI.
Three more things that will help mpg / performance and then I'm done. Gotta refill my coffee.
Exhaust - plain manifolds are probably what you really want for a long-haul, reliable and quiet driver. Headers will net you better torque / power but at cost of reliability, under hood heat & increased noise. Your call.
Cooling fan - look up "ford contour fan swap" or some such. Basically, a mechanical fan is always running at least a little bit and at 5,000 RPM, they cost at least 14 horsepower. Electric fans are way, way more efficient and the dual electrics, mounted in a shroud, out of a ~2001 ish Ford Contour fit like a glove in an FSJ and cool plenty. More horsepower, less parasitic drag on the engine - people routinely claim 1 mpg improvement from electric fans. Your mileage may vary.
AC - if you have it and are going to use it (meaning, it works), air conditioning costs fuel. A Sanden compressor costs less fuel when running than a York compressor.
Oh yeah - and - an overdrive transmission makes a huge difference at highway speed. So does slowing down to 60 or so. So does having the right gear ratio for your tire size. An OD trans gets expensive quick, though. For regular light to medium duty, an AW-4 is a great option. If you want to beat it like a rented mule, maybe go with a 4L80E. RAdesigns (google Aw4 shifter) has a great console mounted shifter setup with electric switches to bypass the need for a computer to shift either one. Less work than a manual, more than a fully computer controlled auto.