I've run the BFG All-Terrains a lot in the desert. You will lose 1-1.5 mpg relative to the same size Michelin, but the BFG have excellent damage resistance, IME. Last year I bought 5 (yes, a spare, too) for my 04 F150 4x4, when I was headed to hunt in West Texas. I had no trouble with flats or rock damage, despite the rough country.
Michelin does make an LTX AT2 which has a little better traction than pure highway tires, but still have better fuel economy than the AT tires. I won't run them in the desert, however. I have run them on the beach, and they were fine in soft stuff - probably not as good as a mudder, but much nicer on the highway.
