It wastes a little electricity, but not much.
Some people think if you leave something plugged in, it eventually deteriorates and breaks.
Others think if you plug and unplug something often, that the expansion and contraction from heating and cooling is more likely to wear it out.
Years ago I had a TV with a broken filament in the picture tube, and every time I turned it on I had to thump the TV with my fist to get the filament to vibrate and make contact with the broken part. Then it would heat up and stay on until I turned it off.
Then I started having to turn it upside down and hit it to turn it on, then turn it back over to watch it. Finally this got to be so much trouble I just left it on constantly 24/7. After a few months I had to go out of town for a few weeks so I turned it off.
When I came home, I was able to turn it on with the switch once more, as the filament had welded it self back together.
You ever notice how a light bulb usually burns out just when you turn it on, never while it is on?
So, leave your wall warts plugged in.