Gas mileage will not be your friend, but it's not tragic... When I first got mine last year it was getting about 13.5 mpg combined. After a year of seafoam treatements, Lucas gas treatment in every tank, and a good tune up I'm up to about 16 mpg combined. A little less in the winter with winter gas here in CO.
No manuals for the factory. At least one member has made the swap to a 5 speed using parts from other Zu's.
Tires are going to be either 16" or 18" depending on what year VX you buy (the '99 had 16's and the '00 and '01 have 18's). VX is great in the snow, slush, etc., but it's going to depend on your tires. You'll get lots of different opinions about which tires are best, but good tires for every application are available at reasonable cost. I have Yokohama Geolander AT/S and love them. They perform well here in all the CO seasons.
Live, Love, Forgive and Never Give Up