My little Saturn 4-door sedan also routinely got 37-38 mpg. Aaah, the good old days. A *partially* valid reason for some reduction in fuel economy these days is the replacement of MTBE eith ethyl alcohol as an oxidizing additive in the fuel. The ethanol has less caloric energy per unit volume, and we have presently 10% mixture of ethanol, by volume (and congress is planning to up the max percentage to 15% later this summer). This wouldn't reduce fuel mileage by 10-15% as there is still a fair amount of chemical energy in ethanol, but it is less than gasoline or MBTE, so that could account for maybe 5% reduction in fuel mileage.

But, I agree, car companies havebeen consistently lowering the bar and telling us how "great" it is, for sometime. I remember Hondas in the early 80s getting over 40 MPG with what we would now consider ancient technology. One of the big culprits is that cars have become so darn heavy now, even compared to a similar physical size car from 20 years ago.
To compensate, they make higher horsepower engines, and the spiral continues..