Leaving wi-fi on all the time

Wifi uses significantly less power then 2G or 3G and in fact uses less while connected and inactive than when it is searching for an AP. So I leave it on all the time and my battery lasts longer.

Turning off anything that isn't in use will generally increase battery life. Also remember that the biggest drain on the battery is generally the display. Setting your brightness to the lowest level (or at least auto) can do a lot to save your battery life. Also, if you typically connect to WiFi at home, but don't have access at your work, there are apps that can automatically turn off the WiFi radio (among other things) in the morning, then turn it back on in the late afternoon/early evening. I use Advanced Volume Mode Scheduler to do this.

This has been my experience with HTC's Evo:

WiFi uses less power compared to 3G when actively downloading/uploading large amounts of data. Even when doing a lot of browsing. However, unlike 3G, the WiFi radio never goes to sleep. So when you aren't actively downloading data, it's best to turn it off. This is unlike GPS and Bluetooth where if they aren't being used, they don't use much power at all.

Yes, I would imagine leaving WiFi on all the time would drain the battery faster. Even if you're not actively connected to an Access Point (AP), the phone is still constantly scanning all the APs in the vicinity of where you are and that takes energy.

The general rule is to turn off what you are not using.