dont buy a Subaru Impreza Turbo... i did the other week and it returns about 20mpg if i'm lucky and dont press the 'warp speed' pedal too much ;)
A friend at work had a VW Polo diesel, she loved it.. did LOADS of mpg. Now shes changed to a petrol Alfa Romeo which does about 30mpg, and apparantly that is low compared to the old VW. (id kill for 30mpg :P)
I 2nd the Nissan Micra. Yes its an old mans wifes shopping car.. but its cheap, works well, reliable, cheap to insure (group 3?) and no one will nick it!! :)
A decentish service history is a must if possible, look for recent cambelt changes on higher (60K+) mileages as it will cost at least £200 or so to do due to high labour costs and it being a VERY fiddily job on most cars..and it needs doing or car gos bang and you lose ££££'s
Hondas tend to be more £££'s on the insurance i found, although it depends on your area etc.
Be warned, insurance WILL be steep. At least £900 id say (my 19yr old work mate just paid £1050 for a 1.1i Saxo.. his 1st car). Add your mum or dad as named drivers with you as the main policy, it may reduce your policy to start with and you get your NCB (it did on my 1st car... by about £150!).
Good luck and safe motoring :D