According to the EPA (cringe), using a base of a 10w40 oil, the following oil grades offer fuel economy gains of approximately (and these are maximum allowed):
I'm sure that somewhat relates to horsepower, but not in a totally straightforward manner. Also does not consider extra wear.
I've heard all the stories that 5w30 is bad and don't run it unless you live in the arctic. I've been using 5w30 since 1989, and never had a problem with it, even when living in the Southwest for 5 years, and believe it or not, we do have summer an 90+ degrees here too.
I think a big part of the thinner grades here is that consumers are used to it, where they are not in other parts of the world, and as a result, availibility is not very good.