What does a comparator consume compared to an ADC
Tongue in cheek answer:

An ADC has to include at least one comparator, or many comparators in the case of a Flash ADC. Here's a SAR ADC:



Since the ADC has more circuitry than just a comparator, it will use more power! (all other things being equal, that is, if you could somehow buy the exact same comparator used in the ADC, which will never happen in practice...)

Now, the power used by comparators and ADCs depends on many factors so it's impossible to answer the question. One very important factor is speed: faster comparators use more power, because the input stage is essentially an analog amplifier, and high-bandwidth low-noise analog amplifiers require more current. So you will find slow micropower comparators using fractions of a µA, and superfast ones using several mA or even tens of mA. ADC power use also depends on speed, bits, etc.