Delay versus polling power consumption?
That depends very much on how delay() was written (and how it will be written in the future!). There are "sleep modes", which will reduce the power consumption of the arduino - these are one of the best way to reduce power consumption. Delay() may or may not activate these. If not, there could be a replacement Delay() function that could do this.

If you want to reduce power, check out http://www.gammon.com.au/power - this is an excellent step-by-step tutorial on how to reduce power consumption from 50mA down to 288 µA