Auto-Lock: A fellow Macworld editor discovered that when she updated her iPhone to iOS 5, her Auto-Lock settings changed. Before updating to iOS 5, she had the phone configured to auto-lock after one minute (thus turning off the display and saving power). After she upgraded, it was set to Never, which will burn up your battery in a hurry. The Auto-Lock setting is found here: Settings -> General.
iCloud: The ability to automatically move data between your iOS device and the cloud is fabulous, but it can also deplete your battery in short order. Go to Settings -> iCloud and take a stern look at the options you find there. If you don't routinely create contacts, events, reminders, bookmarks, and notes on your device and you're willing to forego automatically receiving updates to these items when they're created on other devices, consider switching some or all of these options off. (You can choose to keep existing items on the device, and they'll remain viewable.) Photo Stream is another option to carefully consider, because when it's switched on every picture you take with your iOS device is uploaded to the cloud. (Images taken with other devices associated with your Apple ID are also downloaded to your device.) This is yet another drain on your battery. Likewise, if you have Documents & Data switched on, more data is sent to the cloud.
Storage & Backup and iTunes Wi-Fi Sync shouldn't concern you, as they're designed to work only when the device is attached to a powered connection.
Notifications: Those visual and audio alerts require power. Go to Settings -> Notifications and switch off those you can do without.
Brightness: Your device was not designed, by default, to be a flashlight. If you increase the iPhone, iPod touch, or iPad's brightness setting, understand that you're doing so at the cost of a shorter battery charge.
AirPlay: I can't even begin to image how quickly you'd deplete a battery charge by streaming a Harry Potter flick from an iOS device to your Apple TV. If you don't want to find out, plug your device into a power source when you're using AirPlay. Similarly, if you stream content to your device in the form of movie trailers, Netflix content, or a music subscription service, you can expect your battery to go south in a hurry if your device isn't externally powered.
Taking all the fun out of it