Since the boxes don't really ever go to sleep, they just keep burning up the meter until they're shut down. It's not about cheap set-top boxes, either, because the nicer the cable box or DVR, the higher the power consumption.
It's great advice, in theory. But in practice, we have to wonder how useful it really is.
Since the DVR was designed to work for us when we're not home, it's not something you want to unplug when you leave for work or on vacation (Standby mode does just as much vampire damage as when it's powered on). And when you get home, you'll want to watch your saved shows, keeping the power sucking device on even longer.
I guess the usefulness of the "Turn off your DVR" advice depends on your lifestyle. If you use it infrequently enough to leave it powered off 5 nights a week, then it's a good idea. But for someone like me, who's constantly taping new series and double-booking her DVR, I'll just leave it on 'round the clock. It's the price you pay for watch-when-you-want convenience.