Assuming a fossil fuel power plant (coal, oil, natural gas), it's slightly less efficient to get energy to the drive wheels of the vehicle using electrical power than it is using a modern gasoline/Diesel engine. The electrical generation plant is more efficient than the internal combustion engine but the losses in transmission and the charge/discharge cycle of the batteries more than make up for it.

If you really want efficiency, look at some of the new small displacement turbocharged Diesel engines with common rail injection. They're looking at 60 mpg and more.