First thing to know is I don't use any bootloader so it can't potentially be mucking with pins, it's just my main program flashed directly into chip using a programmer. It's just my code.
AVR chip power on default is pin = input no pullup. (Hi-Z state).
And with a fresh power on the only pins I change are two inputs, I apply the internal pullups, and I get 0.11mA. I'd be happy with this consumption. Better is better, but .. that's good enough.
I think it is good idea to set unconnected pins to an output state, either high or low. The only risk is accidental short of something on the board, touching a pin, and the MCU trying to sink or source current into that short.
I can play around with pin mode and see if my current consumption can be hammered down, but I was also wondering if there are on-chip features that start consuming power that I could intentionally power down.
In my program I use, digital read/write of course, and analog read, and analog write, shift out, I read millis, I use EEPROM, serial read and write (UART), ... just wonder if some of these Arduino commands have compiled in power enabling features that I should manually power off.
And to answer your question, I'm using the deepest sleep, that only an external interrupt pin can wake up.