An article in the Frankfurter Allgmeine Sonntagszeitung reveals that the most energy efficient way to travel is the long-run bus. Trains are not efficient as was widely thought, since the calculations did only include direct use of electricity by trains and not the energy needed to maintain the infrastructure. Low frills carriers do relatively well, since they fly with full capacity. On the other side, trains often run quite empty.
This article might open the door for further scientific research on energy efficiency of transport. To my knowledge, there is no study that directly compares different types of transport in a scientific way. Of course, a study must take into account that emissions of planes are more damaging since they happen in a place where they do maximum damage: the atmosphere. So probably flying long distances is quite efficient, while short-run flights might be inefficient. That also depends on geography and alternative modes of travel.
UPDATE 26/10/2007: Obviously, I did not find the right words to google the subject properly. Now I have. James Strickland has some numbers on his website. Also, there is an overview of efficiency in transportation at Wikipedia.
UPDATE 26/10/2007: I just read in the DB mobil, magazine of Deutsche Bahn available in trains only, that the high-speed-train from Frankfurt to Paris runs with around 60% of all seats filled. This compares to an average of just 43% according to the Frankfurter Allgemeine Zeitung.