I know, I also hear it about water heaters and cooling/heating your house. You just can't change the laws of thermodynamics. There may be an inconvenience factor in turning these things off when you are not using them but you pay more to keep them at a different temperature than ambient. Insulation can slow the heat transfer but it will still transfer. You have to pay to move it back. The greater the difference in temperature from ambient the more you pay.
BTW mythbusters did do the light bulb myth (cheaper to leave them on) and busted it. It is cheaper to turn the light off when you are not using it.
