There will certainly be additional battery drain as the wi-fi scans for access points, though how significant this is depends on many usage factors. I used to leave it on all the time on my Nexus 4 but found I got far better battery life by turning it off when no wi-fi was in range; in the city it's less of an issue.
One potential downside is that you might connect to access points that you wouldn't necessarily wish to connect to.
Around here Xfinity has been busy setting up a bunch of free access points...but you need to be a customer to actually utilize them, so my phone thinks it's connected when in actuality I've effectively lost connection.
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