how to save power when your program needs to constantly check something?

I have a basic program that checks the value of a photodiode all the time. How can I make my arduino save power while doing this? Like a sleep mode or what? I am just concerned that if the arduino is asleep it will miss the event I'm looking for? What can I look into thanx?

Please keep in mind I do not know any of these thing, sleep mode, interrupts are all Greek to me

Please keep in mind I do not know any of these thing, sleep mode, interrupts are all Greek to me

Why not read up a bit beforehand, so that the replies you get aren't "all Greek" to you?
Start here on power saving: Gammon Forum : Electronics : Microprocessors : Power saving techniques for microprocessors
Continue here on interrupts: attachInterrupt() - Arduino Reference

How can I make my arduino save power while doing this?

You can't. If the Arduino must be constantly checking, it must be constantly awake. How often does the Arduino really need to check?

I am just concerned that if the arduino is asleep it will miss the event I'm looking for?

Unless the event generates an interrupt of the type that can wake the Arduino up, it WILL miss events.

You can't stuff if you are sleeping, need to be awake.
What is the hardware, and how is it powered?
For example, an Uno powered from 9V draws lots of power by the parts of the board that do not sleep (i.e. everything but the '328P) so you don't really gain much.
On the other hand, a 3.3V/8MHz Promini powered via 2AA battery direct to Vcc pin will use much less as regulator is bypassed and there are far fewer components (no USB/Serial, no additional regulator (Uno has 5V and 3.3V), no Vin comparator). So sleeping will make a bigger difference.
You can go into sleep mode and periodically wake up, or wake up on interrupt - if the thing you are measuring is normally high, then feeding to an interrupt pin can wake the arduino when it goes low.

The arduino is a prototype board, usually consumes more power than your actual final product. When you have things working, maybe use at AtTiny chip to make a working product. Power consumption should be less.

I have been reading but I'm rather confused. This is my exact setup. I'm running a standalone atmega328 with a 9v battery through a switching voltage regulator. I have a photodiode connected to an analog pin and ground. A laser shines on the photo diode and the program checks the value of the analog pin. As soon as the photodiode drops it's voltage (tripped lazer) the analog pin catches the change in Value and breaks out of a while loop and executes other code. Hope this helps?

So could interrupts work on analog pins? Say the millivolt to an analog pin changes from 0.7v to 2mv, is that enough to trigger an interupt?

My thoughts are this. I can put my arduino in a sleep mode whereby the millis() is still functional as I need this for my program. Then when the voltage on my analog pin drops (voltage produced by light on photodiode) my interupt begins to run my code. Basically my whole program will be the interupt code

Not really - you have so much stuff sucking power you have little hope of saving much.
You can put the '328P to sleep, and feed the analog pin into a hardware interrupt pin as well to wake up with, the low pulse needs to be some minimum length long.
Maybe you'll go from a few mA to less than a mA.
What powers the laser? Is it on all the time?

0.7V to .002V will be considered a low.
You would have to use a comparator (such as LM358) to compare 0.7V to something lower and have the comparator output trigger the interrupt.

Check the interrupt souces in the 328P datasheet - not sure if analog levels can trigger an interrupt.
Maybe an analog compare can.

CrossRoads:
Not really - you have so much stuff sucking power you have little hope of saving much.
You can put the '328P to sleep, and feed the analog pin into a hardware interrupt pin as well to wake up with, the low pulse needs to be some minimum length long.
Maybe you'll go from a few mA to less than a mA.
What powers the laser? Is it on all the time?

0.7V to .002V will be considered a low.
You would have to use a comparator (such as LM358) to compare 0.7V to something lower and have the comparator output trigger the interrupt.

Check the interrupt souces in the 328P datasheet - not sure if analog levels can trigger an interrupt.
Maybe an analog compare can.

The laser is powered from a completely separate battery and circuit.

You haven't answered the question of how soon after the beam is broken you need to know that that happened. If you need to know within an hour, there is plenty that could be done to reduce power consumption. If you need to know within 1 microsecond, stay awake and pay attention.

CrossRoads:
0.7V to .002V will be considered a low.
You would have to use a comparator (such as LM358) to compare 0.7V to something lower and have the comparator output trigger the interrupt.

Check the interrupt souces in the 328P datasheet - not sure if analog levels can trigger an interrupt.
Maybe an analog compare can.

The chip has an analog comparator and this has its own interrupt - section 22 of the datasheet.

PaulS:
You haven't answered the question of how soon after the beam is broken you need to know that that happened. If you need to know within an hour, there is plenty that could be done to reduce power consumption. If you need to know within 1 microsecond, stay awake and pay attention.

Once the laser has been tripped I have about a half a second before I need to do something

Maybe look at this the other way round ?
What would be an acceptable current for your system to draw and how long does it need to run before the battery needs changing ? Can you use a battery with a larger capacity or maybe even a solar powered charger ?

If you are currently (!) using a PP3 9V battery then battery life powering the system may be very short, but as has been suggested out your final solution may well use a lower powered device.

Well the device does actually use a 9v battery and it lasts for about maybe an hour then it goes flat. I have ordered batteries with a larger capacity but they are still quite small.

Just a side question. How would the power consumption be if I use a linear voltage regulator and a switching regulator? I know a linear voltage regulator will use more power but how can I quantify the difference for interest sake?

Well, 9v regulated to to 5V is 5/9% efficient - 56%.
Switching regulator can be 85-90-95% efficient.

CrossRoads:
Well, 9v regulated to to 5V is 5/9% efficient - 56%.
Switching regulator can be 85-90-95% efficient.
Pololu - Step-Down (Buck) Voltage Regulators

Thanx

So my best bet would be to use a comparator chip to basically wake the arduino up when the laser is tripped. I will begin my quest and start reading up on comparators then as I have never used them. And I will also read up on the analog pin interupt on the atmega328 sheet.

Thanx guys