Often running at full clock speed but then going into sleep mode when inactive can be more economical - because the rest of the circuit can be powered down for longer (the microcontroller takes less time to do stuff).
This will be especially noticeable with an SDcard and Xbee transceiver, these could take lots of current when active.
To get the most out of sleep mode you need to be able to put all the peripherals into shutdown mode too.
Oh yes, for CMOS the power consumption is roughly proportional to clock-speed times V^2 (but maximum clock speed depends on V)