It's been said before, but I'll repeat it:
Thinner oils are for mpg and CAFE, and offer less protection. [insert discussion about how additives take over when the film strength is insufficient here, with counter argument about how additives ultimately fail and also get depleted]
Also, manufacturers' vehicles get tested for mpg, and whatever oil they used for the testing MUST be the only oil recommended in the owners' manual.
But don't take my word for it, check out this EPA document. It's old but still applicable, sorry I don't have any updates: