Some years ago, when I tested how long the battery of a mobile phone would last when a mobile device was connected to a 2G or 3G network (PDP context established) but not transferring any data for most of the time. At the time, the result was quite clear: I could almost watch almost in real time how the battery level decreased. Looks like things have changed pretty much in the meantime.
When repeating the test these days with a Nokia N95 and a Nokia N82, one being connected to an EDGE network and the other to a UMTS network over the course of the day while transferring almost no data, there seems no difference anymore to the device not being connected throughout the day. The picture on the left shows a screenshot of my N95 that was connected to an EDGE network throughout the day. Note that at the time the screenshot was taken, the mobile was also connected to a Wireless LAN network (i.e. some applications used the EDGE connection, others the Wifi connection). The same test with the N82 that was connected to a 3G network showed the same result.
Very good, one thing less to be concerned about! No more advice about disconnecting from the network due to the fear of running the battery into the ground quickly.