So we ran Nokia Internet Radio at 128kbps and used Nokia Energy Profiler just to see for ourselves what really consumed more power...
802.11G with WPA-PSK (WiFi):

Test #1

Test #3
AT&T 3G:

Test #2

Test #4
From my test with Nokia Energy Profiler, it shows that 3G does consume more power than WiFi in streaming the 128kbps.
This is how I tested (so you can try it too):
I'm using the same Nokia E71-2 running firmware 100.07.76 for all the tests. I used a Linksys WRT54G with 802.11G WPA-PSK. According to this map of AT&T's 3G network from this summer, I'm in the blue area so I have strong 3G support. I wish I knew where the tower is so I could write a better post.
Software used:
Nokia Energy Profiler 1.1 (1-May-08)
Nokia Internet Radio 1.06 (or get it through Download! on your device)
Screenshot for Symbian OS (S60) 3.01 (just to take those pretty screenshots)
1. Open Energy Profiler
2. Turn on Internet Radio
3. Options > Settings
4. Set access point (if you change this value, you need to restart Internet Radio for the change to take effect)
5. Set all the bitrate to Best Quality (128kbps)
6. Choose a radio station and wait for it to finish buffering
7. Go to Energy Profiler and click Options > Start
I alternated tests between WiFi and 3G (which is why the screenshots go from Test 1, 3, 2, 4) to rule out the case that earlier runs might produce more favorable results than later tests and tested each connection more than once because one test is never enough.
This test really changed my perception that WiFi is a power hog. Even with the burden of WPA-PSK, WiFi consumed less power for me. HoFo member oddsocks gives a pretty good explanation on why 3G consumes just by the specs. I guess this explains why Steve Jobs of Apple added WiFi to the iPhone and complained about 3G chipsets not being ready for mobile devices.