would it make sense to buy a car in Europe because of the gas mileage efficiency?

I'd say you're better off buying a fuel efficient model in the states. Not sure if the cars here are any more economic ...

+ the shipping alone would cost you about 3000 bucks, and think of all the trouble with customs ...

No.

(this post is too short)

The US and Canada do not allow cars that are not US-spec to be permanently imported into these countries. There are exceptions (for classics and others), but in 9 out of 10 cases it's not possible. It doesn't matter if it's a car that is available on both sides of the pond, the non-US version is not allowed there on a permanent bases.... and yes, it's not about safety--it's the outcome of different standards that were never harmonised like the rest of the world mostly due to lobbying of large car manufacturers.

http://en.wikipedia.org/wiki/Grey_import_vehicle

Try this: http://www.cbp.gov/xp/cgov/trade/bas...orting_car.xml

No.

(1) Too much hassle
(2) Too much in cost shipping
(3) Highly likely that when you resell the car in the USA will not get so much as it is an import.

The cars here in Europe that do get really fantastic mileage are generally diesels. Unfortunately, due to tighter environmental regulations and misinformed public perception of diesel motors in the US, your choices there are very few.
Audi and BMW both sell 1 model each that are not SUV's, the A3 and the 335d. Mercedes is planning to start selling a diesel version of the E-class this year. On the more affordable end of things, you would be limited to the Volkswagen Jetta or Golf. Both of the VW's are rated at 30 mpg city, 42 highway.

If you like any of these cars, you would save a huge amount of money by purchasing them in the United States.