How to merge columns in a table?

This can be done using multicolumn:

multicolumn{<no of columns>}{<column alignment>}{<content>}

As an example, with some improvements using booktabs:

documentclass{article}
usepackage{array}
usepackage{booktabs}
setlength{heavyrulewidth}{1.5pt}
setlength{abovetopsep}{4pt}
begin{document}
begin{table}[!htbp]
centering
caption{Comparison of percentages.}
begin{tabular}{*5c}
toprule
Mode &  multicolumn{2}{c}{Var} & multicolumn{2}{c}{Cum}
midrule
{}   & EF   & CHF    & EF2   & CHF2
1   &  17.5 & 19.1   & 17.5  & 19.1
2   &  11.8 & 12.7   & 29.3  & 31.9
3   &  6.6  &  5.6   & 35.9  & 37.4
bottomrule
end{tabular}
end{table}
end{document}