It totally depends on the equipment in question:
DVD, BD player, cassette tape player - OK to have off - some will take a bit longer to boot if you usually enable the "quick start" option in the user menu.
AVR - possibly OK, but most new ones draw little power in standby.
Devices with clocks like VCRs will forget the time.
PVR - OK to turn off if you don't wish to record when off, but it will take time to boot and populate the IPG - usually recommend to leave on. Time is not "forgotten" since it comes from the service provider.
TV - most new TVs draw little energy when off and may benefit from a bit of electricity flowing through them so that they are not "shocked" by a "cold start" - some have the option to select "quick start" or "energy saver" from the user menu - the quick start option, similar to BD players will keep a bit of electricity going through them so they are "warm" and ready for restart - they may draw 10-20W in this mode. If there is an energy saver mode, it may draw 1W when in standby. Most TVs will forget the time, but should remember all other settings (picture modes, etc) if turned off totally by a power bar/UPS.
As you can see, other than BD/DVD players, most electronic equipment is best left in standby. If the equipment is not harmed by using very little electricity, then the power draw in standby for new equipment is usually very low - 1 Watt or so. Some (mostly older design) equipment may have more power draw 10-20W in standby, but may still benefit from being left in standby.
Suggest you get a Watt meter - check out the following thread:
http://www.digitalhome.ca/forum/showthread.php?t=35430