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}

\multicolumn{<no of columns>}{<column type>}{<stuff>}

there are a lot of examples if you search for this topic