TCP connection CPU usage, multiple signals?
As the Arduino typically has no demand-based clock scaling, or alternate threads of comparable priority you can schedule, there's really little point in using a delay (which is implemented as a busy-wait) rather than a tight loop - really, the primary appropriate reason would be to reduce the frequency of status output.

However, if you want to design a power-efficient system, you could consider sleeping the CPU between checking if there is anything worthwhile to do, or until an interrupt indicates that there is.  This is not something which delay() will take care of for you, so it is a fair amount of extra work and testing to get right, but it can be very worthwhile if running from batteries.

If your application is not particularly intensive you can also configure the clock divider fuse and slow the chip down generally.