Here, Tom Rafferty of analyst firm Red Monk, compares the energy consumption of an XBox 360 with a Nintendo Wii in ‘off’, ‘stand-by’ and ‘on’ modes. What it clearly shows is that even when you think you’ve turned your electronic equipment off, it’s still consuming energy.
In the video Tom uses an energy meter by Fujitsu Siemens, but he tells me that there are lots of them around and similar devices can be bought from CurrentCost and Wattson.
On Amazon currently, a plug monitor seems to cost around £13-17.
UPDATE via Tom (see comments):