How much drain a "Live Wallpaper" puts on your phone depends on how often you are looking at it. If your screen is off, no drain. If you are looking at an App that doesn't have the Wallpaper background, no drain.
If you are browsing your widgets and other items that have a "Wallpaper" in the background -- then it drains battery just like any other App.
So if you are constantly fiddling with your widgets, re-designing your home page and so on where the wallpaper is in the background. Yes -- you are going to see it show up on your battery usage because the animation App is active.
For myself, I love my "Thunderbolt Free" Live Wallpaper on my new Thunderbolt. And since I don't spend that much time moving around widgets now that I got my phone all setup -- I'm not finding it kills my battery with normal use.
I'm saying that the "drain" only occurs when the wallpaper background is visible. That's when the animation is running.
If you open up an App (email, reader, gps, whatever) -- it becomes an inactive background application.
So how much that impacts you is really a function of how YOU use your phone. If you mostly use your phone on the Home screen and mostly look at your widgets (as opposed to opening Apps) then the Live Wallpaper is not going to be a big battery impact.
On the other hand, if most of what you do is driven by Widgets (ex: FriendStream to browse through Facebook/Twitter). Then the Live Wallpaper is going to be "on" more often and you are going to see an impact.