Hope this is helpful to some people. I was having the same battery draining issues since upgrading to iOS4 on my iPhone 3g. Apparently there's an issue with Exchange connectivity that is resolved with the following patch:
http://support.apple.com/kb/TS3398
Applying this also stopped my battery drain issues, so the two issues look to be related to the same thing.
Note: I couldn't install the patch directly using Safari on my iphone as suggested, kept getting "unknown error", but if you access it from you desktop & email it as an attachment to your device it installs just fine.