WinXP had some power schemes, and Vista improved on the power management options for desktops and laptops. But they were all pretty geeky, you had to know what was going on and to do a good job of getting it set up right there are a bunch of places you needed to go to install things.
Steve Clayton has just reminding me that Microsoft, Climate Savers Computing Initiative and Verdiem have made available Edison as a free download.

Edison (an application we’ve been testing at home for the last 90 days) is a free installation to help you optimize power usage on your PC as we all strive for a greener computing experience.
Download it and give it a try – every little big helps :)