Where I live, 34W costs me $5 for every 1000 hours, so about 5 bucks a year. I wouldn't call it "quite a lot", TBH.
Yes, the HD 4870 consumes 34W more than the GTX 260 when idle. So, underclock it as far as it goes when you're not playing, if you care. For example my 8800GTX runs at 20 degrees less and with a slower fan if I do that.
When you are playing, the HD 4870 consumes only 13W more than the GTX 260 and you actually get more fps per W from the HD 4870.
But you've got a good point there. The additional heat goes into the room, attracts the cat even more than usual, and then I get cat hairs in the PC, etc.