^^ What he said. When I drive, unless absolutely necessary (passing, getting on the interstate in the big city sometimes you just HAVE to gun it, etc), I barely ever even reach 3K on the tachometer. Drving like a jerk sucks your mileage down more than anything else.
Some people say using synthetic oil will increase your gas mileage by a little bit. I went from using a dino oil to a syn-blend and it did help, but by like 2 tenths of a mile per gallon. I have yet to use a full synthetic on mine.
Using the proper material (which I believe is the titanium for the Cobalt) spark plugs with the proper gap, and keeping up with changing them will also help.
Upgrading your suspension with a strut support bar & thicker front & rear sway bars will allow you to take more speed into turns & decrease the amount of reacceleration you have to do, which will improve your mileage.
Among other things, these will all give you a little bit of gain to your MPG. Without heavy modification, you won't be able to gain those 40 or 50 MPG's of the eco friendly cars, like the Jetta TDI diesel.
The SINGLE biggest way to improve your gas mileage is to improve the way you drive. A soft foot & a manual transmission will get your more MPGs than just about any mod you can do to the car.