I ran mail for exchange in the "always on" mode and mine was about dead after 8 hours, if i set it to 15 min check it lasts for days, lol. i think mail for exchange keeps that connection live and always is sending crap and drains the battery. like with blackberry the device kind of idles and when there is a message the server gets its attention and sends it, where it seems that mail for exchange is more device based and the device keeps asking is there new mail yet? i just set mine at 15 min and let it be.
edit: also when using mail for exchange in the 15 min form my cingular bill ends up at like 80-100 pages double sided because every time it checks for mail it starts a new gprs session and a new line on the bill. doesn't matter to me, just kills a bunch of trees to print it and send it all to me, lol.