A couple of things.
Yes, leaving your machine on uses power, wears out mechanical moving parts (fans, mostly) and leads to more accumulated dust and nastiness inside your PC, which can cause airflow problems (this is why you shouldn't keep your computer on the floor). Windows isn't really designed to run all the time without a reboot, and memory leaks are still depressingly common - depending on how you use your PC, you may find it feels a little more responsive after a reboot.
Some components inside your PC will last longer if left running permanently, and some will last longer if they're turned off when not in use. The debate over what will last longer isn't really anything to worry about, since by the time the components have run for long enough for this to become an issue, they'll be obsolete anyway.
Having said that, if you're going to leave your PC on overnight - say, for a hefty torrent download - then if you're feeling energy-conscious, you might want to have a look at this link. World Community Grid will allow you to donate your unused CPU cycles to help develop the next generation of solar cells (IE "solar cells that are more useful than the ones we have right now - which really aren't terribly useful at all"). This is exactly the sort of thing that's useful for people who leave their PCs running permanently.
They do other research as well; check it out, it's very interesting.