Most of the time I turn everything off. If I'm just running into a store for a minute, I might not bother turning the AC off, that's about it. Other than that everything always gets turned off. I hate turning a car on to have the blower on full blast right in my face, radio comes blaring on, startling the heck out of me, wipers on, etc. It's like sensory overload and too much stuff happening all at once. I like having everything off when I turn the car on, and I turn things on as I want/need them. I also always turn the volume down on the stereo before turning it off.
My wife's car has headlights that shut off when you turn the car off, so she's gotten into the habit of never turning them off. Drives me crazy. I've already had to replace six burned out light bulbs in the three years we've owned it, and it's harder on the battery when starting the engine.