To save power through BIOS settings, make sure that Speedstep/Cool 'n Quiet is enabled for your CPU. This will cause it to run slower when it is not needed and lower its voltage to reduce power consumption.
As for Sleep/Hibernate/Shutdown - Sleep saves the least amount of power. It still has a very low power consumption, but has to keep providing power to refresh the RAM. Hibernate and Shutdown both have the same power consumption, which is only the fractional Watts of vampire power that are consumed when something is left plugged in. Hibernate copies the contents of RAM to the HDD and then shuts everything down.
If you leave the computer on at night for downloading, you cannot save a lot of power except by setting SpeedStep in the BIOS. You can't spin down the HDDs, since they are being written to while the download is occurring. If the overnight downloads are a concern, you may want to look in to getting a cheap NAS with bittorrent functionality (assuming your downloads are torrents), as these generally consume quite a bit less power than a fill-blown computer.
Under normal operation, most LCDs consume about 50-70W and the computer itself will consume between 200-400W, based on specs. Extreme PSU Calculator will be able to calculate your average PSU power draw, based on the specs of your machine.