Posthumane hit most of the high points, I'll try to fill in a couple of the gaps.
First, on the "manuals are always better" front...I'll get the painful part out of the way, and hope you keep reading. Manuals ARE always better, that is, a mechanical connection (clutch and gears) will always have less power loss than a fluid connection (automatic with torque converter), leading to slightly more power being transmitted from the engine to the drive wheels, resulting in better acceleration performance and fuel economy.
Now, that being said, why do some automatics post higher numbers on their window sticker??? The answer is gear ratios. As was mentioned above, a CVT can optimize the gear ratio it is in for every situation, leading to great performance, whereas the traditional automatic or manual is limited to ~6 gear ratios to choose from, and those 6 have to cover a wide range of situations (acceleration from slow or fast speeds, cruising around town vs. highway, etc). This doesn't mean the CVT is more efficient, their belt drive still gives up some efficiency vs. the clutch/gears of a manual, but it is more than compensated for by its infinite gear ratios. Also, DSG's are beginning to enter the market in reasonably priced cars, they are computer controlled manuals, with the power efficienies of a mechanical connection along with the convience of automated control.
But sticking to the classic automatic vs. manual concept, assume you're looking at 2 identical cars, other than the transmission selection. Let's say its a generic hatchback, 3000 lbs, and available with either a 6 speed automatic, OR a 6 speed manual, and for some reason the automatic posts higher fuel economy numbers. Why? By far the most common reason is the gear ratios selected for each transmission will be different. This was done because automakers were receiving complaints about passing power with manual tranmission cars. Consider a situation where you are driving the above example vehicle (automatic to start) down the highway at 60 mph and you want to pass the vehicle in front of you. You move to the left lane and put your foot to the floor, and the vehicle will automatically downshift from 6->5->4, and sometimes even to 3rd gear, giving you a huge surge of power and very impressive acceleration. Now, the manual transmission car, same scenario....you put your foot down, and the car takes forever to accelerate, because you're still in 6th gear. It requires the extra step of manually changing down 1, 2, or 3 gears to access that passing power.
Seems very simple, but the average driver doesn't see that, and instead complains the car lacks power on the highway (because they don't downshift). In extreme circumstances, the dealer or OEM will have to buy the car back from the customer. So, as a result of this, most manual transmissions these days have lower gear ratios than their automatic brethren to give extra passing power without downshifting, to the expense of fuel economy.
If the cars were the same weight, with the same gear ratios, and driven in the same manner, the manual will be the more powerful AND fuel efficient choice.