my theory:
staying connected to the internet is much better than permanently connecting/disconnecting. at least as far as wlan is concerned.
i think the whole process of connecting requires a lot of energy (just like starting your cars engine) so it pays out to keep an idle connection.

not sure if that counts for gsm-internet (especially on 3g), though.

right now i'm connected to my homes wlan for aroud 10 hours nonstop and there is no difference in batterydrain.