Why is this important? If we are using a 200mAh CR2032 20mm coin cell battery, we have a very limited
power supply. If you use 10mA, you'll get 20hrs of use out of your project (200mAh / 10mA = 20hr). If you
manage to reduce the power a little to 100uA, you'll get (200mAh / 0.1mA = 2000hr) 83 days of use - a huge
difference! Let's see just how low the ATmega328 will go.

Check out this great tutorial from Nate at SparkFun about making an Arduino use minimal amounts of power for battery operation

Also in the comments is a link to a useful looking Arduino sleep library for those wishing to save power but not go to quite the same amount of trouble.