I'm not a massive fan of the small engine, save money rule. Generally you're going to go as fast as you want to go(say 75mph on the motorway officer), if you have a smaller engine then your driving it harder. I notice this when I drive the wifes Yaris as she does 70 odd and I do a little more.
Like fbloke says, any of the VAG group cars are good second hand (VW Audi Skoda) and all have decent deisel engines. You could always take it over to my mate at Revo and have it remapped for extra econamy (or power). I've been a number of their cars and they're nuts. They had his Leon running at 360 bhp (it's the white one on their site)
Generally you can't go too wrong with something Japanese either.
What are you after and how many do you need to fit in because a Lotus Elise can be quite economic