When your device is connected to a Wifi network it uses a lot less battery than when it's connected to a cellular network. Leaving it on could drain it in a way because if the phone is trying to locate Wifi signals.
I browsed the web on my X today via 3G and within 20 minutes the phone's battery went from 100% to 90%. When I got home and browsed via Wifi, it took a lot longer for the phone to drop another 10% of battery life. I've also performed similar tests on other phones and the conclusion is that Wifi uses less battery than cellular networks.
And you can't make a phone call unless you have the cellular network on. Turning Wifi on will control the phone's data but the network relies on voice so it needs to remain on, otherwise you won't be able to make or receive calls.
EDIT: Forgot to mention that Wifi is typically faster than 3G and doesn't use as much battery.