TuckBodi: Well, if the hard drive is running for any reason (sync, etc.) and you cut the power, it's not going to be doing any wonders for the machine. I mean, it's basically a computer running OS X - do you ever shut down your Mac by just yanking the power cord?
So while the Apple TV should probably have a shutdown option, you probably aren't going about it in the best possible way.
irmongoose
Of course while in Standby Mode it can still Sync with iTunes so not sure exactly what Standby Mode does.
I measured the power consumption of mine in and out of standby mode: exactly the same. Now I standby it and then turn it off at the wall.