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I have never turned my GPS off. I usually make it through a full day with a single battery charge. Apps I use regularily that use GPS include Bing Search, Twitter, 4th and Mayor, Foursquare, I'm a WP7, Endomondo, Glympse, and I've messed around with We're In just a bit so far. Of course I use the native Maps app too. I have found that because of the way that Windows Phone switches between apps, it does not continue to use the GPS radio once the app has been exited. This will change slightly with Mango, but the objective is still to use the power wisely, and to not be running something in the background that is not needed. Of course if I am using the Maps app for an extended period of time, it uses more power, as expected.
To answer your question: Leaving the GPS on, which is actually aGPS which I think denotes "assisted" using cellular signal triangulation, will only draw down your device's battery excessively while the app is open. This can include running under a lock screen, like Endomondo. As long as one closes out the app that uses aGPS, it should stop transmitting/receiving.