I think it is good idea to set unconnected pins to an output state, either high or low
For this topic, input w/ pullup has the same result.
digital write
A high output pin with a load will consume power even when the processor is put to sleep.
analog read
Obviously, this turns on the analog comparator circuitry which, I believe, has to be explicitly turned off.
I'm using the deepest sleep
This shuts off all the timers (except the watchdog) so you shouldn't need to worry about the millis, EEPROM, or UART timers.