Does anyone know if there is much of a battery life difference between setting up as IMAP and exchange?
Partly depends on the network topology between you and the mail server.
If the network between your cell and the Exchange server gives up connections quicker than say, every 15 minutes, then push can use more battery than a 15 minute fetch, because the device has to ping the server more often to keep the connection alive.
(So-called "push" in this case requires a live connection so the server can send IP packets to your device any time it needs to. In order to keep the connection from timing out, there has to be a message sent every time the connection is about to time out. This could be anywhere from every 5 to 45 minutes. The longer, the better.)
So each user's situation is different. If you're really concerned about battery life, then try to use push all one day, and fetch all another day, keeping everything else the same, and see if there's a huge difference where you normally live and work.
In real life, some of us don't care that much, because the benefit of instant mail alerts (via push) outweighs almost all battery considerations. If, on the other hand, you rarely get email, then it's worth testing.