During standby, 3G uses significantly LESS power than GSM. In fact, the 3G standby time is about double the GSM time. Since phones spend most of their life in standby, 3G is considered to be more power efficient than GSM.
During calls, 3G uses more power, but also has better call quality and can receive data (such as push email, sms, etc.) while calling.
For data transmission, 3G uses more power when active, but since downloads go much faster, the active time is shorter and total power to download a certain amount of data can be lower on 3G when in good conditions (good signal, tower is not oversaturated with users).
The only reasons to turn off 3G are if:
a) you are going to be talking on the phone continuously for a long time, and you don't care about lower call quality or lack of background data
b) If you know you are in an area without 3G service, turning off 3G will save a little power (just like turning off wifi when there are no hotspots around)