It does make a big difference to your fuel economy to keep the tyres at the correct pressure. According to fueleconomy.gov the difference is approximately 0.3% for every 1 psi drop in pressure of all four tires.

The correct pressures for the standard tyres will probably be listed on a placard somewhere in your car. Common locations are the inside of the filler cap, the boot (trunk), the glove box, and the driver's doorpost. If you have fitted non-standard tyres the recommended pressures will probably be different from those on the placard, you should refer to the manufacturer's guidelines for those tyres.

Generally you make slight adjustments (increase the pressure) if you are towing, but otherwise it is best to keep the pressure at the recommended levels regardless of the weather or type of driving. The only benefit from a reduced tyre pressure is a marginal increase in grip, the increase is so small it is only of benefit if you are on a racing track. For everyday driving just ensure your tyres are up to the recommended pressure.