I dont really know why people get less mileage with a lift. I think the recalibration thing is alot of the prob.
Several factors to consider when considering mileage with a lift.
1. The truck is up in the air more adding considerable drag. Quite a bit of this comes from turbulence from underneath the truck.
2. When a truck is lifted, bigger (read heavier) wheels and tires are usually added. This issue compounds itself in a few ways. First you have heavier tires to turn. Unsprung weight is a killer for performance and mileage. Secondly, you're reducing the mechanical advantage that the engine/drivetrain has on said tires. The truck has to work harder. Third, you're increasing rolling resistance due to a much larger footprint from the added width and circumference.
All of this adds up quick.
In the OPs case, it also appears that the Ex has custom bumpers on it. There a bunch of added weight right there. I'd imagine that thing weighs in the neighborhood of 10k by itself. That's a bunch of weight to try and get any sort of mileage out of.
Do you live in a cold climate? That will lower your mileage because of warming it up first.
Absolutley correct. I'll add that depending on your location, you're going to be getting winter diesel which doesn't give you quite as good of mileage as what is available in the warmer months. I can tell right away when the winter diesel has been stocked in the fuel stations around here. My mileage intantly drops ~2mpg.
Here's a few ideas to improve your mileage.
1. Air up your tires to maximum rated pressure. The tradeoff here might be wearing the tires more in the center and perhaps it might not ride or handle as nicely.
2. Shed as much weight as possible.
3. Get custom SCT tunes. The Xtreme tunes yeild the best mileage if you can keep your foot out of it.
4. Regear the truck. 4.10s or 4.30s would get you back near stock as far as the drivetrains mechanical advantage goes with those 37"s.
5. Check your brakes to make sure you don't have a caliper excessivly dragging.
6. Get an alignment. You'd be amazed how much this can effect mileage. The right toe and castor make a huge difference. Especially on these radius arm suspensions. Somewhere in the neighborhood of +2.5-4*castor is where they like to be.
7. As stated, make sure that speedo is calibrated correctly. That can't be done through tunes. It needs to be set in the ABS computer. (If you regear, this won't be an issue.)
8. You have a lifted truck. People don't usually lift a truck with mileage in mind. Man up and deal with it.
edit: 9. Make sure your hubs are disengaging.