How can I reduce power consumption of my device?
This won't cover everything but it's a start:

In electronic circuits wasted power mostly goes to heat and some to em radiation.  To reduce power consumption you would:


reduce heat generation
reduce emissions


The largest heat generation occurs when you have a voltage drop and some current of significance.  For example, a voltage regulator mainly dumps the excess voltage x current as heat.  So avoid places where you have to treat power by throwing the excess away.  This also applies to power supplies. 

POWER CONVERSION: If you have DC to DC conversion using a switchmode supply, make sure it's the highest efficiency you can build/get. Generally, BJT transistors run hotter than MOSFETs, so you should be looking at a synchronous switch mode supplier that utilizes MOSFET/CMOS technology not Biplolar.  Also, take a look at the diode specs and chose ones that have a lower drop.  By replacing the transistors and diodes on one design we were able to go from 50% efficiency range to high 80%.  On a circuit, you can typically pick out culprits if you aim a Thermal Imaging camera at the circuit and look for hot spots.

EM and RADIO if your board is noisy enough to waste power due to em emissions you've probably got more issues, however good power management (decoupling caps/filters) can lead to less noise and more efficiency.  Sometimes, you can't help it, if there is a receive/transmit antenna and the "RF GUY" says it's as good as it gets (see iPhone GPS receiver) then you know where some of the power is ending up.  Making reception more efficient might be more bang for buck since most devices receive more than transmit.

CLOCK CYCLE and RAM if you have a 32bit ram running at 100Mhz, every time each of those data bit lines switch between 1 and 0 you dump a bit of power out and it could wreak havoc on a badly designed board.  reducing the capacitance of each data bus line, proper termination, make a difference.  Even though CMOS technology has pf's of capacitance and mega ohms of resistance, (megs and puffs they say) every time they switch, you lose the charge.  Your 3Ghz intel processor is doing 37 Watts worth of that.  So shut down the parts of the chip you're not using and put the darn thing to sleep as often as possible.  

Passive Components Here you want to generally lower resistance of anything that has current going through it: Choosing better capacitors (lower ESR) in high speed circuits is another practice.  As frequency rises the resistance of even an X7R cap will start looking mad (resistance ->heat).  Similar treat goes for choosing inductor values.  if You can, have a power layer and a ground layer with less than 0.008" prepeg in between.  This creates a nice low resistance capacitor at higher speeds.  You'll need a minimum of 1 square inch for this to be of any significance.

Asymmetric Crystal Caps the crystal used to for generating clock signals usually spec some capacitance (say 12.5pf) and most people simply put 2 of 25pf and move on.  Making this asymmetric such as a 22 and 33 -> ~13pf will run the crystal and save long term power.

beyond that, you could go pedantic and look at PCB material, placement of traces and trace patterns to lower resistance, etc.  I've heard of a satellite circuit design advisor saying: 

"now, rotate this part 90 degrees and it'll then work in space".  (I believe the junoir guy had an L shape trace -> single pole antenna :)