One of the devices Matthew posted above is a good investment. I have the Belkin version thereof and it's a simple and handy way of getting a better grasp on not only how much power things use while in use, but also the parasitic draw.
A huge AV setup for example with a flatscreen TV, DVD player, Satellite or Cable box, stereo receiver etc etc etc can easily draw 20-50 watts just sitting with everything "off".
It can be an eye opening experience. Along with my whole home monitor I've been able to get a much better grasp on what exactly is consuming hydro and adjust accordingly. Even then there's only so much that one can realistically cut out or regularly unplug in an effort to save hydro - our house still floats between 350 to 400 watts even when everything is seemingly off....its just parasitic draw and all the stuff that must stay on such as the modem, router, UPS, my webserver, kids aquariums, etc. It all adds up.