The wii was designed to be left 'on'. When you shut down the Wii it goes into hybernation. There is minimal sysem running and IIRC doesnt take up more energy then your DVD/VCD/Cable box and its Clock. So there is no need to unplug it.
The advantage to not unplugging it is you will get a blue glow in your CD slot when you have a new message. I know the vertical blue smile always makes my day.
To answer your question, I power it down but dont unplug it.