It depends on how long I'm not going to be using it.
If I turn my HT on, it usually stays on all day, until I go to bed that night. The only time I'll turn it off before then is if I know I'm going to be out of the house for a number of hours, then I'll turn off the TV, but usually leave the rest of it on. Unless I don't think I'll be turning it back on at all that day, then I'll shut it all down.
The only part of it that stays on constantly is the subwoofer. Everything else is remote-controlled, I just don't feel like turning it on and off every time is all, since I'd actually have to walk over and push the button.
That'll probably have to change once I upgrade my TV, unless I stick with CRT when I go hi-def. If I get a DLP, then I'll probably start turning it off if I won't be using it for any length of time. Mainly because it's got moving parts, and there's the bulb-life issue.
Which raises another question... turning a light bulb on and off can cause it more stress than simply leaving it on. Do DFP bulbs suffer from this as well? Would it actually shorten it's life by turning it on and off several times a day? Would it be better to simply leave it on, turning it off only when I'm asleep or at work?