As strange as it might seem, I just changed my fuel filter after the 200k mark and it seems to have helped my mild city driving milage by about 2-3 mpg, though that doesn't sound like a lot that is about 20% gain given that I get about 15 in the city and 19-21 on the freeway. A couple of other suggestions might be:
Air filter- keep clean or get aftermarket oiled filter/charger
spark plugs- gapped right, replaced recently (they are cheap after all, unless you go with B.S. technology like titanium or tri- tipped or whatever, those work for about 2 weeks then perform just like the others exept that they cost 2-5 times as much)
Tire pressure- Low pressure is good for off-road but on the road you want as much pressure as is safe as doesnt speed tire wear. I keep mine at the side wall ratings. This can improve your milage on the freeway drastically with the more aggressive tire treads, not as much with street tires.
Air conditioner- use it when driving say 25+ mph. if you need to keep cool, keep the window up and the A/C on. Although this sounds wrong the increased wind resitance is more inefficiant than running that A/C.
Lock out hubs - If you have manuals, keep them unlocked on the hiway, the parasitic loss in keeping the forward drivetrain turning is worth some gas money.
Driving Habits- wether stick or manual, you want to keep that engine at the lowest rpm whilt not lugging the engine. keep your foot out of the gas pedal.
Speed- most cars get the best milage in the 45 mph vicinity, where the air restiace (which increases exponetial as you go faster) is still low, but fast enough for the engine to still be efficiant.
Exhaust- the better the engine breathes the more power it makes, increse in HP without increase in Fuel consumtion means that the engine can move the car at the same speed with less effort, hence better milage. headers, cat-backs, dual exahust, duel cat-back, are all ways to accomplish this.
Sensors- For the same reason that your explorer is a pain to work on, this also makes it more effiecent when working PROPERLY. The computer controls and corresponding sensors allow for fuel mixing to an accuracy not capable before. the computer is only as accurate as its reading from its sensors, this means that periodic cleasing or replacment are neccisry and even aftermarket parts can help with this. Meaning: Get new O2 sensors, these can get clogged or damaged if you engine is burning oil, or just age can kill these guys. MAS- keep it clean or get a new one, knowing how much air your car is sucking is clritical to engine performance. Manifold air pressure sensor, manifold temp sensor, camshaft and crankshaft sensors, throttle possition, all in all several DOZEN sensors are on your late model explorer and they all need to be accuarte. Service them or have them checked with every Tune-up.
Octane- If you are one of those rare guys that has to have premium gas in your beast, then upgrade your computer with a new chip, most performace chips will require that you use a higher grade of gasoline, but if you are allready using premium you mine as well upgrade and gain a few HP to a properly tuned computer for your needs.
Cleaners- every time that you change your spark plugs run some injector and deposit cleaner through your engine to get those depostis and garbage out of your injectors to help your engine keep running like it was supposed to.
Automatics- Got an automatic that you are getting serviced? A4ld sucks! but if you gota have that stock auto then consider a lower stall rated torque converter, this may eat up your tranny faster with abuse but with hiway driving a lower stall rating means less HP loss to "stirring fluid" or just say forget it and get a Stick.
Construction- If you are waiting forever for that construction worker to turn that sign from "stop" to "slow" turn that engine off. Your engine doesnt burn much at idle compared to normal running, but it is significat. A good way to look at this is that it takes 30 SECONDS for your alternator to recharge your battery back up to what it was after each start. If you have to wait longer than 5 minutes at a stop, it will be in your favor to turn that beast off and start it back up when moving again.
Change that oil- Slackers beware, it cost only $10 for a cheap oil change and up to $25 for a premo filter with syntheic. It is said that THE BEST way to maintain a healthy engine is to change that oil religeosly. Every 3,000 miles is a good benchmark, and 3k at most if it is a lot of off-road miles. at 3k miles the average car has turned 4% of that oil into broken down oil that will do your eninge no good. If you cant afford to put 4 quarts of oil and a filter on your explorer every month and a half to every three months depending on how much you drive, you might consider a kia or geo "darn good cars?" Especially with the price of gasoline and the milage that exploders get it makes no sence not to.
All of these are good suggestions and are worth anything from baraly any milage increase up to a very significant increase but consider that a good running 4.0 liter explorer will AT BEST get 15-17 in the city and 18-22 on the freeway. Dont explect any magic its just that if you get less than this you might consider doing some of these suggestions. Unfortually there is only 114 thousand BTU of engergy to each gallon of regular and moving 4,000+ pounds is no easy challenge especially when you are talking about an ineffeciant engine such as the one under my hood. Also consider that about 30% of that engery goes to heat, 15-20% to parasitic loss and friction, 5% to alternator and electricity, plus about 10% to misc. That does not leave much of that engery in gasoline going into motion. Kinda sucks huh!?
using 85 octain fuel, yes 85) to 21 mph doing the same thing. But it might vary because for one, I have a manual and another, I live at 7000 feet. 
