You may save a few kWh a year by unplugging such a transformer...or
maybe not. How cold a climate do you live in? How do you heat your
house? Would the energy spent plugging and unplugging it (and wearing
out the socket so it has to be replaced sooner, with the associated
consumption of materials and power to make new sockets, would that
energy be better spent being a bit more diligent about turning off
other much larger power consumers?

I wonder, considering how much electronics you buy in compact
fluorescent lights, how much it would add to the cost of the
transformer-type wall-warts to add a circuit to disconnect the
transformer from the line when there is no load, or just use a
switching design that draws very little power when unloaded.

Cheers,
Tom