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I do notice there is a psychological effect as well, in sport mode not only the car is more sporty, but I am too, I drive more aggressively. Which uses more gas, so for me sport mode means less MPG, but who cares ... ;-)
I don't notice anything at all in the Countryman. Could be because it's a porker compared to my last car, who knows?
I tried this experiment on the way home yesterday. Noticed a big difference between sport and non-sport.
Find a long flat straightaway. Turn SPORT off. In 2nd gear get the RPM to 3k (around 30mph) then floor it for a couple of seconds. Turn SPORT on and try the same experiment. Huge difference, in my case anyway.