OK, I was wrong. First, it's ethanol. Methanol is highly corrosive.

Second, ethanol is added as an oxygenate to help the gasoline burn cleaner, in proportions of up to 10% ethanol. "The primary emission benefits of oxygenate use in gasoline is a reduction in CO and hydrocarbon emissions from motor vehicles." http://www.arb.ca.gov/fuels/gasoline/pub/oxyrprt.pdf
This is more important here since MTBE was phased out.

Third, "A fuel's ability to
vaporize or change from a liquid to a vapor is referred to as its volatility. If
volatility is too low (not volatile enough), symptoms could include: poor cold
start, poor warm up performance, poor cool weather driveability, increased
deposits in the crankcase, combustion chamber, and spark plug, or unequal
fuel distribution. ... Refiners are required to deliver the correct volatility of fuel for winter, summer, and fall/spring. "
Colder air makes it difficult for the gasoline to properly atomize.
http://www.nwicc.cc.ia.us/Module5.htm
http://www.artsautomotive.com/Mileage.htm

Furthermore, Gasoline has about 114,500 BTU/gallon, while ethanol has only 76,100 BTU/gallon. http://www.epa.gov/orcdizux/rfgecon.htm

So when you combine poorer volatility due to weather conditions and lower energy content due to oxygenates, you get worse mileage.

Here's an interesting map of US Gasoline requirements:
http://www.exxon.com/USA-English/Fil...p%20100102.pdf