From Microsoft's website:
Why doesn't it (data connection) go away?
In our 2002 release, when an application requested a connection to the internet, we'd create a connection. Then, when the application said it was finished with that connection, we'd tear it down. In our 2003 release, we changed this behavior to the current one. Once you've connected once, it stays connected. We made this change for a number of reasons, not the least of which was that it allowed a much better user experience. In 2002, whenever you wanted any data from the Internet, you had to wait a few seconds for the device to request an IP address from the network. Staying connected all the time means that you get data much more quickly. Also, Mobile Operators requested it. It was more expensive for them to be constantly creating and tearing down connections than to just do it once. Finally, staying connected enabled us to develop a fast "push email" client that relied on the device holding an IP address.
It's important to understand that we only do this on connections with "Suspend/Resume" functionality. These kinds of connections are suspended when a phone call comes in and resumed again when it is finished.
Doesn't this cost me money?
In general, no. A long time ago phones sent data over "circuit switched" connections. These were similar to old style modems on your PC. They would make a phone call and send data over that voice connection. The Mobile Operator couldn't really tell the difference between those calls and other voice calls, so they charged per minute. Current data connections (GPRS, etc), though, are different. For these types of connections, every Mobile Operator that I'm aware of now charges per byte transferred, not per minute. So you can keep your data connection on all the time and only get charged when you send or receive over it.
What about my battery life?
Just having a data connection shouldn't affect your battery life. Most of the time, the device isn't doing anything with that connection. It just sits there idle. If you're sending a lot of data over the connection, though, that will definitely impact your battery life. Unfortunately, the arrows don't really tell you whether you're sending data or not (though I've seen devices that animate the arrows while data is being transferred).
LOL if you own a Mogul you bet your a$$ the idle connection affects battery life
