Leaving it at off mode (red light) is fine unless you are not going to use it for a prolonged period of time. Plugging/unplugging may generate power surge that is not good for any electronic equipment. The energy consumption at off mode is very low and you can still turn it back on with the WiiMote. Nevertheless, it is a good idea to unplug it when there is a thunderstorm coming. Don't trust the surge protection on a power strip.
