^^^^ what he said. There are big rigs and even JD tractors with better gas mileage than a TJ.
However, what you can do is make sure your tires are properly inflated, you aren't using the incorrect gear ratio if you have a lift/big tires, get your fuel system cleaned if its an older Jeep, install a cold air intake, and most important of all... easy on the gas pedal. I've noticed by keeping the RPMs under 2000 and slower starts keeps gas in my tank much longer. Regular maintenance and staying on top of things will let you keep the horrible MPG that you have and keep it from getting any worse.