Is the transformation of pi bonds to sigma bonds always energetically favorable?
When thinking about questions along these lines, I always try to remember the bent-bond description of ethylene.  In all aspects related to physical reality (structure, electron distribution, etc.) the bent bond model pictured below on the right is equivalent to the pi model shown on the left (at least within the scope of all measurements made to date).  



The "nice" thing about the bent bond model is that it casts ethylene as a highly-strained, two-membered ring.  When wouldn't releasing this strain and forming sigma bonds be an energy lowering process.  Aside from conjugated examples, I think that transformation of a strained, ethylenic system to a saturated, sigma-bonded system would always be energy lowering.

EDIT: Further Thoughts

Instead of analyzing hydrogenations or other reactions where the starting material and product have a different number of atoms, let's consider the following isomerization reaction.



Thermodynamically, cyclohexane is the most stable $\ce{C6H12}$ isomer in this series by a significant margin.  All we've done is convert a C-C pi bond into a C-C sigma bond and convert 3 $\ce{C(sp^2)-H}$ bonds into 3 $\ce{C(sp^3)-H}$ bonds.  Which (at least as I read it) was the OP's premise.  So I would say that, in carbon-hydrogen systems, pi bonds generally prefer to transform into sigma bonds, as pi bonds are inherently destablilized due to poor overlap (pi model) or strain (bent bond model).

That said, I retract what I wrote above that carbon-carbon pi to sigma transformations would "always" be energy lowering.  Consider the photolysis of benzene to produce dewar benzene, prismane and benzvalene.  These conversions are examples where one or more pi bonds have been converted to one or more sigma bonds and the reaction is not energetically (thermodynamically) favorable.



The products are much less stable (due to the strain in the small rings that have been created) than the starting benzene.  Because of these relative stabilities, the forward reaction does not occur thermally (in fact, thermally, each of those 3 products will revert to benzene), but by pumping in excess energy photochemically, the transformation can be brought about.  

To summarize, I would maintain that generally, in model, carbon-hydrogen systems, ethylenic linkages are destabilized (due to poor overlap in the pi model, or strain in the bent bond model) and will thermodynamically prefer to exist as thermodynamically more-stable saturated linkages.