In addition to all of the other good answers here, especially bad coolant temp sensor or thermostat, obstructed emissions, ignition related (anything from coil(s) to plugs, timing, MAP sensor, brake problems, etc., here are some other common problems:
Bad EGR valve, oxygen sensor(s), fuel pressure problem or bad fuel pressure regulator, dirty or defective IAC valve, vacuum leak(s) including a bad pcv valve (if you pull it out of the valve cover and shake it, you should hear it rattle- if not it's bad), very clogged air filter and sometimes even a bad ecm. Low compression can cause a lot of fuel consumption, too. This can be caused by a number of issues. e.g.- change your oil+filter as required people! It's so easy and prevents BIG problems!
Vacuum leaks can easily be identified by a smoke machine or even just blowing cigar smoke into a vacuum line (engine off). Watch to see where smoke escapes and if you need to refine the location further, spray some carb cleaner in the area to see if engine idle changes or stalls altogether (engine on and a FIRE EXTINGUISHER READY just in case). That's your leak. Check around intake manifold gasket while you're at it.
Unless there are other obvious accompanying symptoms that may suggest otherwise (like hearing ceramic chunks rattling in the cat or an obvious vacuum leak howl or high-pitched screech), you should always check fuel pressure first. Low pressure could be the pump relay or pump itself, clogged lines, or clogged filter.
Make sure that, if you're in a location with consistent 0-degree-or-below weather, you use at least 5w30 or maybe even 0w30. Best to check your manual if available for that info. Even weather aside, newer vehicles may require lower viscosity oil anyway so check manuals!
Believe it or not but if your tranny is slipping then that can cause more-than-normal fuel consumption, too. I won't go into how unless someone asks, but it should be kind of obvious anyway.
Lastly, failing struts and steering problems can cause excessive fuel consumption for similar reasons as tranny slippage.