It varies vehicle to vehicle, but 30-40% loss in fuel economy is typical.
If you're doing it for the cost benefit, you need to do the math. If it's not 40% cheaper, then it won't make sense. Right now E85 would need to be under $2.00 a gallon (gas is $3.39 here). Not happening.
If you're doing it for performance, towing, or if you're having knock/ping problems, then the economics aren't the only piece to the puzzle.