Side Wind

I don't have any hard numbers or even good arguments why, but anecdotal evidence suggests it definitely is worse than no wind.

 

Yes it is worse ... but depends on way too many variable.

Very simply put, the wind from the car point of view is a vector wind1 what the car see as a result of it's speed and wind2 is the speed of the air ("the wind") hitting it a particular direction. So the end result is the same as the car were moving in still air but slightly angled. Which of course will result higher drag ...

Now of course put these in mathematical equation is more complicated. Measuring it in a wind tunnel would be relatively straight forward. But natural wind is not steady predictable etc.

Second obvious reason for mpg loss is the rolling resistance increases as you basically need to generate counter force to keeping the car straight that create some wasted energy as well.

 

Clean air is always better than dirty air. If you're taking wind on the beam, then I'm sure that there's going to be some kind of an efficiency ding, but I'm also pretty sure that it's better than taking it on the nose.
Why the curiosity?
I haven't found any way to turn off the wind, so I generally just put the giveacrap switch in the "Don't" position and relax and enjoy the drive.
You can control for things like throttle and brake input, tire pressures, oil flavor, cargo, routing, etc....
Why worry about things like temperature and wind?
If you're already routing your trips for maximum efficiency (sometimes a longer surface street route trumps a run on the interstate...sometimes not...) then there's not really much you can do about the wind unless you can kick the schedule to the right or the left to avoid it. Or.....just ignore it.

Back about a boss and a half ago, I had a conversation that went something like this:
Boss: I just broke 60-mpg going to the POP site!
Me: Really? How the heck did you manage that?
Boss: I took Highway-13.
Me: Waitaminute! That's about 10 miles further...and it takes a lot longer. Aren't you wasting time and fuel?
Boss: (Grinning stupidly) ...but I got over 60 MPG!
Me: Gee....I guess that's why I'm not a supervisor.

YMMV....