That's why a 4WD truck will get about 25% less fuel mileage than the identical 2Wd model.
I actually just went through all the SUVs on cars.yahoo.com trying to get data to refute biscuitjam's assertion that SUVs get about 21mpg (it's a little high, but not a lot), and I found that that wasn't the case. Usually, the mpg rating only dropped 1-3 mpg when going from 2WD to 4WD. That certainly used to be the case, though, I think, but advancements in 4WD technology has helped in that the two axles don't fight each other nearly as much as they used to, and SUVs seem to have, mostly, picked that technology up from smaller AWD cars. (It's not as if these powertrains are usually designed for off-roading anymore.)