I find that it's often handy to actually hibernate my mbp to disk rather than just cause it to sleep if I'm going to be away from it for a while. The benefit of this is that it combines the benefits of both shutting down and sleeping. It writes the memory contents to disk, so when you start up you're back in the same state you were as when you put it into hibernate mode. It uses no power, though, as the entire machine truly shuts off. Starting up from a hibernated state is slower than from a sleeping state, but is still a fair bit faster than a cold start from shutdown.
There's a widget called 'deep sleep' which makes this feature easily accessible. I probably use it once a week or so, and it works great.
http://deepsleep.free.fr/