That is a good question. On one hand, you would figure that connecting an external monitor would draw the same or even more power due to the fact that the monitor would require its own power source and power from the laptop to make it work as well (i.e. VGA). On the other, it would seem that running a couple of back lights in a laptop LCD wouldn't require as much power as running an external LCD.
Of course, this is just my way of looking at it. I have never seen numbers comparing the two.
I'd say the best means of conserving power over all would be to run a custom power plan with conservative settings.