So, what I learned is that GPS is always on. The check mark in settings is only allowing applications to use GPS or not. It's not a switch to enable the circuitry or not.
I have been doing some of my own (non-scientific) testing of my battery life using the battery history graphs to see my actual usage of BT, WiFi, GPS, Display, Device, etc. Battery Left widget will expose this screen, it hidden in the SDK and can't be found by going through the regular settings. Anyway, so I have been monitoring my battery life first with everything off, then with GPS checked but none of my apps allowed to use it and my life is the same. It takes a hit of course when I let my weather widget use GPS to update every hour, or let the browser use it for location searches, etc.
GPS definitely drains your battery the hardest for comparable time usage to WiFi and Bluetooth. Just use it for 5 minutes, then WiFi for 5 minutes, and BT for 5 minutes and then check out your battery usage screen and you'll see that it consumes a higher percentage of your consumed battery life. And by use i mean use it, like with maps, not just checking the check box.
WiFi has two states--On and being used. And having wiFi on, when you put the phone down and the screen blanks out, wifi will disconnect from the access point, and reconnect when you bring the screen back on, saving you some battery life.
This is how I roll:
GPS checked but I limit the apps that can use GPS to just the ones i care about having a precise location. Things like weather widgets, my cellular location is good enough for me.
BT on when I want to use it, and I may leave it on because it's not that big of a battery consumer.
WiFi is only turned on when I want to use it or when my phone is plugged in to charge.
The biggest battery hogs are the screen and using GPS.
Spend some time with an app like Battery Left or Spare Parts--one that will expose the battery history statistics for you--and you will see better which things affect your battery the hardest, and you'll have real numeric usage numbers to support your claims.