Most 535d's we get in have 36-37 mpg on the computer, one company that we work for mapping their cars (engineering company and managers both have 535d's to go between Newcastle and Hull) get 42+ average as they do a lot more motorway miles.
My 335d is on an average 38mpg over the last 2900 miles and is used for school runs and round town mainly, lowest I see when having a bit of fun is 32 and on a recent run down to alton towers and back at 75mph I got 48mpg.
My golf averages 25mpg :( but on a run I can get 33 if I try.
The petrol vs diesel argument will go on for ever, If I only had one car and had to choose based on 15k miles a year it would be a turbo petrol.
Before anyone dissmisses a diesel as boring, go test drive a 335d msport, brilliant as standard (286hp and 428ft/lb) but mapped stage 1 (350hp and 580ft/lb) is enough to see off most hothatches with brilliant handling to match.
But I agree that the 335i is more fun but not any quicker so if economy is important then go diesel.