Note that in many cases, 3G uses less power than GSM/EDGE. If you want to download X amount of data, then 3G will use less power because the download will finish much quicker than on EDGE; even though EDGE is using slightly less power per second, it requires many more seconds to complete the task.
OTOH, with something like a chat program where you need a persistent data connection for Y minutes regardless of the amount of data, then EDGE may use less power.
It also depends on what towers you are near. If you have a good strong 3G signal, then using 3G will use less power than trying to communicate with a weaker GSM/EDGE signal, and vice versa.