Why more, smaller transistors increase power efficiency?
Most of the power consumption in CMOS circuits is 'dynamic power' -- power from devices switching state. This power is basically the power required to drive the capacitance of the other gates, as well as the capacitance of the wiring.

In modern CMOS, there is additional static leakage power because when the MOS transistor is 'off', it still allows a little leakage current to flow, and given the numbers of devices in a modern CPU, the total current becomes significant. There are techniques to minimize this though.

As devices get smaller, you get a number of benefits:


Device capacitances decrease, so less power is required to drive this capacitance.
Devices are smaller and closer together, so parasitic capacitance of the wiring also decreases. 
Devices can be made operate at lower supply voltages, so both leakage current, and power required to drive parasitic capacitances decreases.


Generally, the leakage currents increase as devices get smaller (not really because they are smaller, but because the lower threshold voltages allow higher leakages). More complex power-switching techniques are used to keep this in check.