considering I have a 98 540i 6-spd and my mom has a 2000 528iA, I think i'll chime in.
540i = 17/26 - avg for me is about 18.5. This past weekend i got 28.2 at 72mph.
528i = 19/28 - avg for when i drive the car on trips is about 20.2, and the best i ever got was 32.8 at 75mph. There's a real sweet spot on the E39's for the best fuel economy. Stray a few mph above or below and it decreases a bit. My old 525i 5spd was the same way, 70mph yielded about 25mpg, where 78mph was around 28-29.
1995 540iA M-Sport - 76k miles. 1 of 1 auto AW3 cars.
1995 540i/6 - Misc Parts donor for above.