I'd have to do the research to be certain, but I seem to remember seeing somewhere that coasting for long distances with the transmission in neutral can be bad, since it doesn't circulate lubricant in the driveline.

That seems slightly suspicious, though -- you can tow a car without too much problem...

Air Conditioning is a load on the engine, yes. I bet it is neglegable, though. Turning on the heater is probably /good/ for your car. That's less heat that has to go through the radiator. There's slightly more load because of the blower, but it certainly isn't because of the 'heat' part of the equation...

I've heard that driving habits -- the smooth stops and starts -- has one of the largest impacts on mileage.