It’s certainly improved a lot in the last few years. Measured at the wall, my old Pentium-4 with a 7800GS graphics card used to use over 300W in intensive games. I tried the new i7-3770/GTX 660 system tonight, running through games like Arma 2, Guild Wars 2, Metro 2033 and Saints Row 3, with settings maxed out or nearly so. Peak power consumption was 210W, which would equate to more like 180W drawn from the PSU.
No wonder I can’t hear the fans while playing games, whereas the P4 system sounded like a jet engine.