Wireless Engineer here. It varies from phone to phone and depends on what radio they use, but generally:

Scanning for WiFi with poor signal quality and with 3G on is the worst possible scenario. Your system will scan for WiFi, eventually fail, then boot back to 3G. Then do the whole song and dance over and over again.

While the switching isn't the big issue, wireless protocols use a technique called "Power Scaling" where they scale down their power to the lowest possible power without breaking the connection. This is to reduce emissions and save battery. When you search, however, you're on at full blast. And full blast on a transceiver is a lot of power. By the same token, good signal strength can decrease the power consumption as well.

EDIT: Also of note, WiFi is significantly lower power than 3G because it is an unlicensed band. 3G gives you a specific frequency to use so your 3G radio just goes full blast. WiFi hopes that everyone is low enough power, and randomly distributed enough that you won't mess one another up.