My observations made using:
Apple TV 40 GB
Connections: HDMI at 480p, optical audio out, 100BaseT ethernet
Software version: 2.0.2
KillAWatt P3 AC power meter
Apple TV average power consumption:
Boot-up: <= 19 Watts
Main menu: 15W
Playing movie: 18W
Screen saver (flower images): 16W
"Sleep" state (TV on): 14W
"Sleep" state (TV off): 13W
Apple TV "on" but TV off: 13W
I note that even when sleeping (i.e., after pressing the play button for five seconds until the front panel status light turns off), the Apple TV is still visible and fully accessible via iTunes.
Conclusion:
For my set-up, at least, "sleep" offers no significant reduction in power consumption over simply turning off the television, but there is a small advantage for the case where the TV is powered on but the Apple TV is not in use. Heat output should closely mirror the power usage.
Contrast this with my G4 Mac Mini:
Active: <= 35W
Idle: 14W
Sleep: 1 W
Clearly, there's a lot more Apple could do to reduce power consumption when the Apple TV is not in use. Ideally, when sleeping, the unit would spin down the hard drive and power down the network interfaces and all other hardware not necessary for monitoring the infrared/remote interface (there's got to be a way to turn it back on, after all). As it is, the only option that I'm aware of to seriously curtail the Apple TV's power consumption is to unplug it when you're not using it.