Drop in filter would be your best bet in MPG increase. Lots of people think that a CAI would do it, but you have to consider that your airbox is basically a CAI, it pulls airflow into your engine. Lots of people will argue that its restrictive, but you have to ask yourself, "Did I increase the size of my intake valves or are they stock?". Engine design engineers design todays cars perfectly for MPG. Just the right amount of air, fuel, and exhaust for best volumetric efficiency. Manufacturers will argue against K&N cause of 3rd party reasons.
2009 Cobalt LS XFE U74
Mods: K&N Typhoon Intake, Option Cat-Back Exhaust, Cosmo Short shifter, Maxxim Ahead 17X7's, MPx shorty antenna, FE5 Strut/shocks, Tein S Techs, Moog endlinks, Moog spring seaters, ZZP shorty header, LSJ downpipe, LNF front grille