One of the major benefits of using one of the two models of Raspberry Pi Zero, including the new wireless model, is the lack of power consumption. This is handy for mobile projects where you're running off a battery. The addition of Wi-Fi draws a little extra power. Raspi.TV breaks down the specifics.
The short version is that the Zero W requires about 20 mA than the non-wireless Zero, but that's still almost half what the Pi 3 needs. That generally holds true through idling, loading up the operating system, watching video, and shooting video, with a few variations in-between. While this is all a little too much information for most of us, it's still a major factor if you're working on a portable Pi project of any kind, so be sure to head over to Raspi.TV for the full results.
— RasPi.TV (@RasPiTV) May 20, 2016
How much power does the Pi Zero W use? [RasPi.TV]